Myth: "No pain, no gain."

The old 'exercise as punishment' philosophy - that it has to hurt to do you good - has just about disappeared from exercise lore, though for some people puffing, sweating or messing up their hairdo constitutes pain.
So, does higher-intensity exercise have any advantages over lower-intensity?
In terms of basic health benefits, just meeting the minimum recommendations (see How much and how often?) will provide many health benefits. However, vigorous exercise can provide extra protection against heart disease. It can also help with overall fitness and kilojoule burning.
Bottom line:
Exercise shouldn't hurt, but exerting yourself a little can improve your fitness.
Myth: "Low-intensity exercise is better for fat burning."
The idea is that if you exercise at low intensity (around 50 to 60 percent of your maximum heart rate) you burn more fat than if you exercise at a higher heart rate (such as the 70 to 85 percent recommended for improving fitness).
Unfortunately it's not entirely true. You do burn more fat as a percentage of the total energy you burn when exercising at low intensity - it accounts for almost all the fuel your body uses. But you burn more actual fat per minute and a lot more total kilojoules at higher intensities.
The advantage of low-intensity exercise, especially for people who aren't terribly fit, is that it's less tiring and puts less strain on the body so you can exercise for a longer period of time. In the end it's the total kilojoules burnt that count - so for maximum weight loss you can either get puffing or just keep going for longer.
Bottom line:
Low-intensity exercise is great for beginners, while exercising at higher intensities helps you get fitter and burn more total energy in a given amount of time.
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