The other part that is just as important is the socialization aspect of the activity. People that go out with their spouses or friends to do physical activity are preventing isolation. Isolation is one of the greatest factors that contributes to waning psychological health as people age. Studies show exercise extends life expectancy, and that the life of a couch potato is likely to be shorter than that of his more active friend. In at least one study comparing regularly active vs. inactive adults, the regularly active group had lower all-cause mortality than the inactive group.
Exercise also has a big role in weight control.
The simple fact is, if you burn up more of your energy stores than you take in, you'll lose weight. It is very hard to lose weight by dieting alone. If you want to lose weight, you are much more likely to be successful by exercising in combination with a good diet. What you can sustain is a realistic program of moderate exercise. If you take up rock climbing, and discover it ruins your expensive manicure every time you do it, you won't do it very often.