While studies have proven time and again that exercise is good for your health and overall wellness, if it’s weight loss you’re looking for, you’ll probably need to do a bit of dieting, as well. Think of it this way: One pound of fat is 3,500 calories, and running a marathon (approximately 26 miles) burns only 2,600 calories. In other words, trying to lose weight through exercise will be a long and treacherous road.