Here is a challenging article that John Cloud wrote for Time Magazine’s August 9, 2009 edition. (http://www.time.com/time/health/article/0,8599,1914857,00.html)
A summary of the main thesis is as follows:

“…The conventional wisdom that exercise is essential for shedding pounds is actually fairly new. As recently as the 1960s, doctors routinely advised against rigorous exercise, particularly for older adults who could injure themselves. Today doctors encourage even their oldest patients to exercise, which is sound advice for many reasons: People who regularly exercise are at significantly lower risk for all manner of diseases — those of the heart in particular. They less often develop cancer, diabetes and many other illnesses. But the past few years of obesity research show that the role of exercise in weight loss has been wildly overstated…

“…The basic problem is that while it’s true that exercise burns calories and that you must burn calories to lose weight, exercise has another effect: it can stimulate hunger. That causes us to eat more, which in turn can negate the weight-loss benefits we just accrued. Exercise, in other words, isn’t necessarily helping us lose weight. It may even be making it harder….

“…Yes, it’s entirely possible that those of us who regularly go to the gym would weigh even more if we exercised less. But like many other people, I get hungry after I exercise, so I often eat more on the days I work out than on the days I don’t. Could exercise actually be keeping me from losing weight?…”