Joe - can you link to the reference article on sex making you gain weight? I've never heard of that. In fact I've only ever heard of benefits from having sex. In the context of adult, consensual, "safe" sex I'm not aware of any detrimental condition that could develop (other than emotional attachment which some could consider a downside.) LOL
Sex has many benefits - cardiovascular strengthening, immune system improvement, and psychological stabilization among them. Not to mention stress relief.

People that get laid regularly live longer, healthier lives, and are generally more confident and well adjusted.
Sex releases wonderful things into your bloodstream like endorphines and oxytocin. Do some reading on oxytocin - it is amazing stuff. Some studies I've read indicate that it can stop the aging process for a while. No wonder folks that are having great sex regularly have a certain glow about them.
Is sex exercise? Yes. Does it burn calories? Yes. But how good of a workout it is depends. It certainly isn't an excuse to stop hitting the gym. Which sucks because I love sex and hate working out. LOL
PS: I am not a doctor nor do I play one on TV.

So feel free to do your own research on everything I just said.