Recent literature shows that exercise is not simply a way to generate a calorie deficit as an add-on to restrictive diets but exerts powerful additional biological effects via its impact on mitochondrial function, the release of chemical messengers induced by muscular activity, and its ability to reverse epigenetic alterations. This review aims to summarize the current literature dealing with the hypothesis that some of these effects of exercise unexplained by an energy deficit are related to the balance of substrates used as fuel by the exercising muscle. This balance of substrates can be measured with reliable techniques, which provide information about metabolic disturbances associated with sedentarity and obesity, as well as adaptations of fuel metabolism in trained individuals. The exercise intensity that elicits maximal oxidation of lipids, termed LIPOXmax, FATOXmax, or FATmax, provides a marker of the mitochondrial ability to oxidize fatty acids and predicts how much fat will be oxidized over 45–60 min of low- to moderate-intensity training performed at the corresponding intensity. LIPOXmax is a reproducible parameter that can be modified by many physiological and lifestyle influences (exercise, diet, gender, age, hormones such as catecholamines, and the growth hormone-Insulin-like growth factor I axis). Individuals told to select an exercise intensity to maintain for 45 min or more spontaneously select a level close to this intensity. There is increasing evidence that training targeted at this level is efficient for reducing fat mass, sparing muscle mass, increasing the ability to oxidize lipids during exercise, lowering blood pressure and low-grade inflammation, improving insulin secretion and insulin sensitivity, reducing blood glucose and HbA1c in type 2 diabetes, and decreasing the circulating cholesterol level. Training protocols based on this concept are easy to implement and accept in very sedentary patients and have shown an unexpected efficacy over the long term. They also represent a useful add-on to bariatric surgery in order to maintain and improve its weight-lowering effect. Additional studies are required to confirm and more precisely analyze the determinants of LIPOXmax and the long-term effects of training at this level on body composition, metabolism, and health.