Exercise burns the body’s glycogen stores, which are essentially carbohydrates. This means that after a workout, you can eat a little more carbs than you otherwise can permit yourself, without negative effects on insulin or fat storage. Also, don’t forget that the non-weight-related health effects of exercise are quite impressive.
For even more impressive effects on body composition: aim for exercise forms which elicit a positive hormonal response. This means lifting really heavy things (strength training), or interval training. Such exercise increases levels of the sex hormone testosterone (primarily in men) as well as growth hormone. Not only do greater levels of these hormones increase your muscle mass, but they also decrease your visceral fat (belly fat) in the long term.
As a final bonus, exercise can both make you feel and look better.
What kind of activity fits you?