Do you mean specifically in regards to exercise (since you posted in the Exercise forum) or just weight loss in general - changing eating, exercise, etc as a whole?
I don't really exercise because I just don't like it, but I do have a job that is physically demanding so I kind of end up exercising anyways. The hardest part for me is that I can't just eat whatever I want whenever I want anymore. If I want a cookie, pizza, and steak, I can't normally fit all those into a day with a calorie budget of 1800 so I have to choose. I also have to watch portions and sizes, I can't just have a free for all like I used to. Another challenge is the extra planning it requires. If I'm hungry on the road, I have to find a place within my calorie budget for the day (very hard) or I have to plan ahead for this situation and bring healthy snacks to tide me over until back home.
Let's support each other on CalorieCount - I'm WasabiSushiSama there.