Where are you at physically? How active are you? What is your general exercise tolerance? How much time do you have to dedicate to exercise? What kind of exercise do you enjoy?
I always do best getting my exercise doing something that doesn't feel like exercise (basketball, racquetball, soccer, hiking, etc). But it is hard to find people to do activities with (adult life is just too busy at times). My second strategy is to set my eyes on some goal and lay out a plan to hit it. Goals and planning are tricky, you want to find something that helps you stretch or grow a little but isn't overwhelming. My big problem is that when I start I tend to want to take off super-fast. I had the idea that my MAX effort is what should be hit at every single workout. This lead to burnout (or injury). So I'd fall of the horse, and stay off for too long before trying again.
The thing with setting fitness goals, make them your own. You don't need to be the longest or fastest or the weight liftiest. Make a goal for you. Something that you can look at for motivation and something you can be proud of. For some that might be getting to a walk around the block. Great for them.
My exercise history is a bit jumbled. For a while it was signing up for PE classes, Rec and Intramural Leagues, and the occasional season on the gym machines. Plus a pickup games of any sport whenever I could find one. I moved away from some of those resources (and time got scarce), so I switched to a stationary bike, then to workout videos (P90X, Pilates, Yoga). Then I got the wild hare to start running and do a non-competitive road race or two. I set a goal to complete a 10k and a half marathon. That was the most difficult and most dedicated of my exercise programs. The end goal was big enough that I did tons of research (online, talking to coworkers and neighbors that ran) to figure it all out. Last year I decide to swim (with a mile swim event as my end goal). This year I'm trying cycling (end goal is a 50 mile ride).
As far as weight gain, nothing makes me hungrier than a run. I try to eat 1 hour prior to a run for fuel, then within 30 minutes of exercise, I down a few hundred carb/fat/protein balanced calories with a slight bias towards carbs (cold cereal w/whole milk is my go to). Then I'll be starving again an hour or two later so it is time for a real meal. Eating is such a chore sometimes, but the hunger I get from exercise is a nice motivator