I have just finished reading The Health Delusion, which I strongly recommend – most of the conclusions in there are based on decent trails data.
In the book they reckon that it is exercise that is the key, not size.
An overweight person that exercises and is somewhat fit is much healthier than a normal sized person that does nothing, in terms of risk of illness, cancer, etc.
On that people that made us fat program the presenter actually had a lot of fat, but it was internal. The writers of the Health Delusion show how this form of fat is far worse for us than external fat, so just having external fat is not necessarily hugely bad.
However I find it easier to remain fit if I am not overweight…