The New York Times just published an article reviewing some of the recent research on exercise, food intake and food reward, titled "Does Exercise Make You Overeat?". I was planning to write about this at some point, but I don't know when I'd be able to get around to it, and the NYT article is a fair treatment of the subject, so I'll just point you to the article.
Basically, burning calories through exercise causes some people to eat more, but not everyone does, and a few people actually eat less. Alex Hutchinson discussed this point recently on his blog (1). Part of it depends on how much fat you carry-- if you're already lean, the body is more likely to increase hunger because it very much dislikes going too low in body fat. Most overweight/obese people do not totally make up for the calories they burn through exercise by eating more, so they lose fat. There is a lot of individual variability here. The average obese person won't lose a substantial amount of fat through exercise alone. However, everyone knows someone who lost 50+ pounds through exercise alone, and the controlled trials support that it happens in a minority of people. On the other side of the spectrum, I have a friend who gained fat while training for a marathon, and lost it afterward.
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