I had read somewhere that after about 45 minutes of cardio your body will start using it's fat stores, and continue burning fat for 6 to 8 hours afterwards. So when I found myself overweight I started doing long trail runs or bike rides, about 2 hours long, 3 times a week. Insomuch as I looked forward to doing the exercise, losing 3-5 pounds a week was nearly effortless. My appetite actually goes down during these periods because I'm burning my fat stores and my body isn't demanding that I replace those calories, and it's doing it for hours after I've stopped.

I've had people tell me that getting exercise is not a good way to lose weight, but my experience tells me that if you're doing the right kind of exercise, then, yes it a good way. Maybe there's just no reasonable expectation that most people will do enough cardio at a high enough level to activate fat burning.