I find that having something to train for gives me a goal so I keep on getting out there and moving. That said, I know a woman who is as overweight as I am (size 14-16) who runs the Boston marathon every year - so she's definitely fit, but not slender.
I have been training for a triathlon since March and haven't lost any weight, but I definitely feel better. Towards the end of last winter I had a lot of aches and pains in my hips, back, and feet and not much stamina but now I can bike 15 miles, swim 800 meters, and I'm still (*still!!!!*) working on the 5K. Running has always been the fitness thing I've struggled the most with.
That said, I don't think you need to start with marathons and triathlons. If you can already jog a 5K, find a local 10K and train for that. If you can't run a 5K, find one 10 weeks from now and start the couch to 5K program. That requires 3 days of training per week and then on the other days you can do strength training, HIIT, or something like pilates or yoga that helps strengthen your core and increase your flexibility.
I've been reading a lot lately about HIIT (High Intensity Interval Training) and specifically something called Peak 8. You use a heart rate monitor or a machine with a built in monitor (treadmill, indoor bike etc.) and warm up for 3 minutes, then go as hard as you can for 30 seconds, recover for 90, and continue the 30/90 splits for a total of 8 times and then cool down. The goal is that by your 8th set, your heart rate is at or above your max heart rate (220 minus 35 so 185 for a 35-year-old). If you're out of shape, your muscles will quit before you get your heart rate that high so you have to work up to it. HIIT is supposed to work all 3 types of muscle, stimulate HGH and trigger the most dramatic results. So in 20 minutes of intense interval training you can get more results than an hour of steady cardio.