Speaking from personal experience, I think a lot of people assume that since they're active and are burning tons of calories from working out, they can go ahead and indulge a bit here and there. It makes sense, right? Your body is burning all those calories and obviously you'll be hungrier than before. Well, sadly the result is oftentimes "inexplicable" weight gain (or at the very least no change in weight).
The old myth used to be that a pound of muscle burns more calories than a pound of fat, so the more muscle you have (from weight training), the faster your metabolism will be, and you'll burn calories for up to 24 hours post-workout just because muscle is such an awesome fat-burner. While this is still true, new research published in the Journal of Exercise and Sport Science Reviews suggests that the difference in calorie-burn is so minimal (~10 per lb of muscle vs ~2 for fat) that regular exercise isn't likely enough to make a difference in "auto-fat burn" to the average person.
While exercise is critical an essential for optimal physical and mental health (it's good for you for just about every reason imaginable from sleep to heart health to sex), it still holds true that diet actually trumps exercise when it comes to weight loss and maintenance. Yes, moving around and exercising burns calories, but a pound of fat is still worth 3,500 calories, and it's usually easier to cut excess calories out of the diet than to burn all those calories at the gym! Without a healthy, calorie-restricted diet, the weight management effects of exercise will be un-done by consuming back the calories that you've burned off. The rule usually goes that for weight loss, it's 80% about diet, and 20% about exercise. Do both and presto: You'll shed those pounds faster than you think.
While this study has busted the old myth that you'll be a calorie-burning machine after working out, it doesn't take away from the importance of exercise in general, and the basic physiological principles of weight loss. The bottom line is: Don't blow your diet just because you're working out!