I'm really embarrassed by exercising in public, so I try to exercise in my room. I just try to do whatever I think I need to do - jogging in place, sit-ups, those "drills" where you run in place for a few seconds, then do a few push-ups, then jump back up and run in place again, etc. And stretches and stuff, too.
I've been trying for about a month, but I haven't lost any weight and I haven't really noticed a difference. :/