I think it's important to remember that it's not 100% about the weight - being healthier means more than seeing a lower number on the scale. Exercise provides a lot of benefits that our bodies need, plus it helps with looking and feeling better (Google "same weight muscle vs fat" if you want some visual evidence). Also, in the long run, lots of studies have shown that while diet is the most important factor in losing, exercise is the most important factor in maintaining - and weight bearing exercise is the kind that makes the difference. Might as well get going on that lifelong commitment now.
I have always been fairly active and at times very fit, but I'm convinced that slacking on exercise the LAST time I lost a lot is what made me gain it all back (and then some).
That said, different bodies work different ways. Everyone has to find what works best for their own body. Exercise certainly won't HURT anyone, though.
Currently, I'm walking about 5-6 miles a day. I plan to incorporate weights when I'm in a time/place I can join a gym - I'm just doing stuff with no equipment now at home (better than nothing, I suppose).