People with strong cardiovascular function, regardless of their size, are healthier and live longer than their sedentary counterparts. For example, in a study of 2,603 people age 60 and older published last year in the Journal of the American Medical Association, physically fit individuals had roughly the same mortality rate whether they were underweight, normal weight, or overweight. Being fit can even trump being thin: People who were fat but fit had a survival edge over those who were skinny but inactive.

Exercise can improve health even if the scale doesn't budge. Researchers from Harvard University and Brigham and Women's Hospital tracked physical activity and cardiovascular health in more than 27,000 women ages 45 and older. After a decade, the physically active people slashed their risk of heart attack and stroke by as much as 40 percent. The researchers determined that only about 10 percent of that decline could be attributed to a reduced BMI.

The rest stemmed from improvements in markers for inflammation, blood pressure, and LDL (bad) cholesterol. "The message to people who exercise but don't lose weight is that they are still getting most of the benefit," says Samia Mora, M.D., lead author of the Harvard study.