Getting Into A Routine.

My biggest issue is the exercise part of weight loss. I have been very good about keeping my calories under my daily limit. I find when it comes to the exercise part I have difficulty wanting to do it. I think the fact that it's cold still is a big turn off. I also don't really know how I should start exercising. Should I just go for daily walks/power walks? should I do intervals of jogging? I did find that when I tried intervals of jogging my lungs felt inflamed and breathing was difficult...almost like I was having asthmatic symptoms. (I don't have asthma normally but when I do jog my lungs hurt for hours after and it's difficult to take a full breath.)