Richard Simmons Lied to Us!
Here's an article about how studies indicate that people generally don't lose weight just by exercising. I have always found this to be true. If I alter my diet, I lose weight. I don't lose weight if I don't change my diet, whether I exercise or not.
That's why a lot of the thin stars you see on movies and TV look great but are actually in terrible shape. Control calories, smoke some cigarettes to help with appetite, and maybe do a light workout for a few weeks before a movie to scuplt muscles, and there you go! A great, thin, unhealthy body.