Exercise is actually terrible for weight loss. The amount of effort it takes to burn even minimal calories is so disproportionate to how easy it is to just eat less. This video is an excellent example of why:
http://youtu.be/UQbuzsY_34Q
It's totally possible to lose any weight you want to lose without ever taking a single step, much less intentionally exercising.
That said, what exercise is good for is sculpting your body and building muscle. When you lose weight, you're not just losing fat - you're also losing water and lean muscle mass. Exercising properly while losing can help to prevent losing quite as much muscle mass - this means that the scale often goes down much more slowly, since you're not losing the water/lean mass that contributes to the total, but the end result is much better. The more lean mass you have, the higher your resting metabolic rate, and the more calories you will be able to eat while maintaining weight - which makes keeping the weight off easier, since you've got more room to work with. And there's a huge aesthetic difference between someone who's 140lbs and 35% body fat and someone the same weight and height who's 15-20% body fat.
This is a great link that really illustrates how muscle mass impacts how your body looks:
http://www.nerdfitness.com/blog/2011...ng-super-hero/
Now, even if you don't want to lift heavy and get super cut like the person above, you can still see the difference. It takes an enormous amount of work to get to her level, it won't happen accidentally.
And it's also critical for good health, as has been shown time after time in study after study. The more activity, the better - not just exercise, but movement throughout the day in general. Obese people who start exercising moderately can experience dramatic improvements in health markers
even if they don't lose a single pound. Exercise is really really good for you. But it doesn't have to be in a gym, it doesn't even have to be structured - it can be any activity you really enjoy doing. It's better to do something less "effective" than to do nothing at all!