Always warm up and stretch first
This is extremely important. No matter how much you want to start playing that sport or lifting those weights right away, you must always stretch first. Jog around for a few minutes, rotate your neck and shoulders, make circles with your ankles and wrists. All of this is crucial, otherwise you might be risking an injury.
If you are making an exercise plan for yourself, and you have not moved from your couch in a year, do not start with really difficult exercises right away. You will get tired faster, or even injure yourself. Instead, chose easier work outs first and slowly move towards the challenging once. You will find that your activity is much more effective that way.
Change your routine
While you should start with simple exercises, you should definitely not keep your routine the same for a longer period of time. As soon as your body becomes used to the tempo of working out, you will stop seeing effects of your work. Instead, you should slowly change your exercise plan so it is gradually getting more and more difficult.
The natural reaction to some movements might be to hold your breath. Do not do that, it is really harmful to your blood pressure. Exhale whenever your muscles contract and inhale when they are relaxed. Do not stop breathing at any time, no matter how difficult your exercise becomes. It is also to breathe properly while running. Try not to do it really fast or you will soon be out of breath.
This is extremely important for anyone who is trying to lose weight or gain more muscles. Do not expect any of that to happen if you just exercise. While working out is important, it only makes up about 30% or your total weight loss or muscle gained. You need to plan a balanced diet to achieve the other 70%. Some tips on how to do that can be found here.