Not to promote junk food here, but exercise does work wonders to counter bad eating. I eat Taco Bell sometimes when I don't have time to make dinner, and my weight stays the same as when I eat healthier food at home. It's probably slowing down the weight loss a little, but I don't gain any weight.
We all need to be able to splurge every once in a while, exercising just enables you to do it more often. :)