Besides burning calories, exercise helps your brain stick to a diet.  Researchers at the University of Pittsburgh studies overweight adults for two years, and found that the participants who didn't follow a 3-hour-per-week exercise plan ate more than the 1,500 calories per day the study allotted.  The reverse was also true - sneaking in extra snacks sabotaged their workouts.  You need diet AND exercise to maintain long-term weight loss.  Both actions serve as reminders to stay the course, reinforcing your fat loss goals and drive.