I've recently lost a bit of weight by using a controlled diet. By writing down everything I eat (using the Weight Watcher's point system) I managed to lose around 18 kg in around 30 weeks, getting me down from 105 kg to a considerably healthier 87, where I've stayed now for a while. I can now run without breaking my knees, and my current personal record over 10km is under 54 minutes. Using a pulse-meter I've also been able to keep a decent track of calories spent while exercising.
One of the revelations I got when starting to document how much I ate (calories or weight-watcher points, it doesn't really matter), is that exercise does not really matter when losing weight. First, if you're 20 kg overweight like I was, chances are that you're overeating with at least a day or two worth of food per week. A pizza easily covers 80-100% of your recommended calorie intake per day. To balance one day worth of calories, you will need at a significant amount of intensive exercise. Going swimming or running 30 minutes twice a week will not help.
According to the article Why Exercise Won't Make You Thin, exercise will also stimulate hunger, causing you to eat more. (It certainly does for me; I ofter food-hallucinate when I'm running.)
So, while exercising is a good idea for most people, don't expect to lose any weight unless you also change what you eat.