Exercising will often correct energy imbalances whether up or down. Exercise will make you eat more and if you are underweight typically you will find yourself gaining muscle mass. Alternatively if your overweight exercise has more of an appetite supressing effect and while you may eat more it generally is not as much as what you take in. Exercise is truly amazing stuff, a very complex interplay of all sorts of homrones which regulate all sorts of things!
So for those of you who are to skinny try exercising more. I know it sounds paradoxical but often it helps, if even then you are still losing weight you may have to try and force yourself to eat a little more... BUT NOT MUCH! For never should you overload your body quickly... increase the amount you eat gradually over a long period of time and your body will slowly adjust to the energy changes by (if your exercising) adding a little more muscle to your frame.
See:
Total Wellbeing: The Many Benefits of Exercise, Part 1:
If you want to learn some more cool benefits that exercise provides.