When you look at how many calories you actually burn when working out, it's depressingly small, 20 minutes of bike riding will only burn about 200 calories, that's the amount of calories in one candy bar.
However, after a year and a half of working out hard 5 days a week at they gym, I find that the real change is the way I think about eating now. When I have the urge to snack, I think of how much sweat and pain it's going to take to burn off those calories. When I think about those big bags of chips that I used to eat, and think that it's going to take 2 hours of sweat and pain to burn them off, I reconsider my snacking urge.
Lots of people say, "ok, go to the gym for a month and see how you feel", but for me, it really was more like a year before my brain really started to change to this new way of thinking. So, while working out does burn caloires, I found that the real benefit that working out had for helping me to lose weight was the way it changed the way I think about food. Now, I think of food as a fuel, not as a distraction or something to make me feel better.
With all that said though, for me, working out is only partly about getting in shape, working out really makes me feel so much better mentally and emotionally, it's like the best anti-depressants you can think of, because it makes your body produce natural drugs and compounds, like endorphins, that make you feel really good.
For me, it's made all the difference, I just love it.