The first thing to do is to go see your doctor first, but that wasn't an option in the poll. I vote to change your eating habits first. I have read somewhere (it could be something Trainer Dan wrote on this forum, or it could be something I read in Escape Your Shape - sorry, I dont remember) that losing weight is 80% diet and 20% exercise.

From my personal experience in my early 20's, I worked out 6 days a week while eating and drinking whatever I wanted. Yeah I was in pretty good shape, but I was still heavy. I think back to that time and wonder if I had changed my eating habits as well, maybe I wouldn't have spent the last 20 years overweight.