I think there might be an analogy here to the famous saying (was it Eisenhower?), "Plans are nothing; planning is everything."

Exercise is nothing; it doesn't lead to weight loss. (Except possibly if you're really overweight and on a long, sustained exercise program, like hiking the Appalachian Trail or a trans-continental bike ride.) But exercise is everything; it makes weight loss possible. For a sedentary person who's trying to lose weight by restricting caloric intake, getting out of the chair and starting to exercise can jump-start weight loss like nothing else.

In between morbidly obese and underweight, it's frustratingly non-linear.