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Why exercise alone won't get those pounds off - it's because the body adapts to higher exercise levels. We all suspected that, but it is depressing... From Medical Xpress:

Why you won't lose weight with exercise alone

Exercise by itself isn't always enough to take off the weight. Now, evidence reported in the Cell Press journal Current Biology on January 28 helps to explain why that is: our bodies adapt to higher activity levels, so that people don't necessarily burn extra calories even if they exercise more.

People who start exercise programs to lose weight often see a decline in weight loss (or even a reversal) after a few months. Large comparative studies have also shown that people with very active lifestyles have similar daily energy expenditure to people in more sedentary populations.

Pontzer says this really hit home for him when he was working among the Hadza, a population of traditional hunter-gatherers in northern Tanzania."The Hadza are incredibly active, walking long distances each day and doing a lot of hard physical work as part of their everyday life," Pontzer says. "Despite these high activity levels, we found that they had similar daily energy expenditures to people living more sedentary, modernized lifestyles in the United States and Europe. That was a real surprise, and it got me thinking about the link between activity and energy expenditure."

To explore this question further in the new study, Pontzer and his colleagues measured the daily energy expenditure and activity levels of more than 300 men and women over the course of a week.In the data they collected, they saw a weak but measurable effect of physical activity on daily energy expenditure.

But, further analysis showed that this pattern only held among subjects on the lower half of the physical activity spectrum. People with moderate activity levels had somewhat higher daily energy expenditures—about 200 calories higher—than the most sedentary people. But people who fell above moderate activity levels saw no effect of their extra work in terms of energy expenditure."The most physically active people expended the same amount of calories each day as people who were only moderately active," Pontzer says.