1. Your body will burn extra Calories while you are exercising;
2. If the exercise is high enough in intensity (i.e. significantly increases your heart rate and respiration), your body will continue to burn Calories at an elevated rate for an extended period after your exercise session has ended; and
3. If the exercise places a high enough load on your muscles, they will increase in size, and burn more Calories even when your body is at rest.

This last item (i.e. muscular adaptation to exercise) is an important factor for weight loss, because it enables your body to burn more Calories at all times. Muscle tissue is more "metabolically active" than body fat. With more muscle and less fat, your metabolic rate is naturally higher.

Muscular adaptation occurs most readily when the load placed on a muscle exceeds about 60% of its maximum contractile strength. This makes weight training one of your best exercise choices, and the most direct path to a sleeker, shapelier body.