1. Your body is expecting a certain amount of calories at any point during the day which is either being pumped into your bloodstream from your fat or food in your gut.
2. Your fat doesn't work right, (probably because you eat too many carbs), and doesn't release enough calories, so you get hungry.
3. You keep over eating until you have enough volume of fat so that even though your fat doesn't work as well at releasing calories into your bloodstream, you make up for it by just having more.
4. Voila, you have reached homeostasis. Your body conspires to keep you at this weight. You are either hungry and thin or full and fat.
As for exercise, well, I can only offer up a personal anecdote. I lost 50 pounds. At first by starving myself with a calorie deficit and now I've figured out how to keep the weight off with the food I eat. (I no longer calorie count -- hooray).
During this period of weight loss I attempted to increase the amount I exercised to speed the process along. It didn't work. The only thing that moved the scale was either counting calories or eating a low carb diet, (paleo to be exact). If I had it to do over I'd just start with changing the things I eat, although because of years of calorie counting I'm now very aware of what I put in my mouth -- a good habit to have.
Edit: I do actually believe exercise can help you lose weight. I am currently training to race bikes. I go for very long rides (3-4 hours twice a week) to train my body to burn fat. This is critical for endurance sports. But I don't think it's realistic to ask everyone to become an endurance athlete.
I have weighed more, and i have weighed less. Not morbidly obese, but my doctor would prefer I dropped 20. I have found stress is a factor.
Carbs are supposedly "habit forming", they make you crave more carbs sooner.
Ultimately it's up to the individual to control how much they eat and exercise, but we've been misinformed for decades (and still, to this day!) on how to live healthily. The reason obesity has become an epidemic is surely due, at least in part, to this.