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The study results of 218 overweight, postmenopausal women who had insufficient levels of vitamin D (like most people) at the beginning of the study found that weight loss (including exercise), in combination with vitamin D supplementation, had a greater effect on reducing chronic inflammation than weight loss alone.

Current thinking is that chronic inflammation is linked to various chronic diseases as well as cancers. So reducing chronic inflammation is good. From Medical Xpress:

Weight loss plus vitamin D reduces inflammation linked to cancer, chronic disease

For the first time, researchers at Fred Hutchinson Cancer Research Center have found that weight loss, in combination with vitamin D supplementation, has a greater effect on reducing chronic inflammation than weight loss alone. Chronic inflammation is known to contribute to the development and progression of several diseases, including some cancers.

"We know from our previous studies that by losing weight, people can reduce their overall levels of inflammation, and there is some evidence suggesting that taking vitamin D supplements can have a similar effect if one has insufficient levels of the nutrient," said lead and corresponding author Catherine Duggan, Ph.D., a principal staff scientist in the Public Health Sciences Division at Fred Hutch. 

To explore this question, Duggan and colleagues recruited 218 healthy, overweight older women who had lower-than-recommended levels of vitamin D (less than 32 ng/mL). The women then took part in a 12-month diet and exercise program (including 45 minutes of moderate-to-vigorous exercise five days a week). Half of the study participants were randomly selected to receive 2,000 IU of vitamin D daily for the duration of the year-long trial, and the other half received an identical-appearing placebo, or dummy vitamin. 

At the end of the study, all of the participants had reduced levels of inflammation, regardless of whether they took vitamin D, "which highlights the importance of weight loss in reducing inflammation," Duggan said. However, those who saw the most significant decline in markers of inflammation were those who took vitamin D and lost 5 to 10 percent of their baseline weight. These study participants had a 37 percent reduction in a pro-inflammatory cytokine called interleukin-6, or IL-6, as compared to those in the placebo group, who saw a 17.2 percent reduction in IL-6. The researchers found similar results among women in the vitamin D group who lost more than 10 percent of their starting weight. While IL-6 has normal functions in the body, elevated levels are associated with an increased risk of developing certain cancers and diabetes and may be implicated as a cause of depression, Duggan said.

Inflammation occurs when the body is exposed to pathogens, such as bacteria or viruses, which puts the immune system in overdrive until the "attack" ceases and the inflammatory response abates. Overweight or obese people, however, exist in a state of chronic inflammation. This sustained upregulation of the inflammatory response occurs because fat tissue continually produces cytokines, molecules that are usually only present for a short time, while the body is fighting infection, for example.

"It is thought that this state of chronic inflammation is pro-tumorigenic, that is, it encourages the growth of cancer cells," she said. There is also some evidence that increased body mass "dilutes" vitamin D, possibly by sequestering it in fat tissue."Weight loss reduces inflammation, and thus represents another mechanism for reducing cancer risk," Duggan said. "If ensuring that vitamin D levels are replete, or at an optimum level, can decrease inflammation over and above that of weight loss alone, that can be an important addition to the tools people can use to reduce their cancer risk."