In the past at times I've lost quite a lot of weight, adopted a harsh exercise regime and given up smoking.
In my experience, having tangible goals or benchmarks is most important. If you tell yourself to eat "a bit less fatty foods" it's much harder to judge what is less, over what period, etc. If you become a vegan or decide to just eat salad then you've got a clearer rule to follow.
I agree with the point above about exercise as far as physically/physiologically, you can't start running marathons if you're overweight. When I started MTBing I hadn't done any significant exercise in 10 years and I immediately started pushing myself as hard as I could and challenging myself every time I went out. I'm doing a half marathon in Feb, but this time I decided to use a training plan which basically involves gradually increasing time spent running. I find this much better than when I've run regularly in the past, where I was running the same distance over and over and just trying to do it faster.
I think the above is quite a male perspective though: setting yourself against something, and achieving goals by bloody mindedness. The first time I gave up smoking I did this and lasted a 6 months before gradually sliding back into it. This time I read allan carr book, which is much more sensible than I would have ever believed. However to paraphrase, "yes stop smoking completely – you have to or else you'll still be addicted and just sad that you can't smoke – and don't mope about fags".