The NY Times recently had an article about the role of exercise in weight loss. You can read it
here, but I think you have to register. Registering is free and they don't share your info with anyone.
I just reread the article and noticed this interesting passage about the role of exercise in maintenance (important because we will all be there one day!

):
On the other hand, if you can somehow pry off the pounds, exercise may be the most important element in keeping the weight off. “When you look at the results in the National Weight Control Registry,” Braun says, “you see over and over that exercise is one constant among people who’ve maintained their weight loss.” About 90 percent of the people in the registry who have shed pounds and kept them at bay worked out, a result also seen in recent studies. In one representative experiment from last year, 97 healthy, slightly overweight women were put on an 800-calorie diet until they lost an average of about 27 pounds each. Some of the women were then assigned to a walking program, some were put on a weight-training regimen and others were assigned no exercise; all returned to their old eating habits. Those who stuck with either of the exercise programs regained less weight than those who didn’t exercise and, even more striking, did not regain weight around their middles. The women who didn’t exercise regained their weight and preferentially packed on these new pounds around their abdomens. It’s well known that abdominal fat is particularly unhealthful, contributing significantly to metabolic disruptions and heart disease.
I have to respectfully disagree with Get n Healthy. I believe if you follow a sensible diet you will lose fat, not muscle. I think it is when you go very low calorie or exercise with improper nutrition that you are at risk of losing muscle instead of fat.