I like the ideas that have been discussed in this thread. I used to think that lower body fat meant greater health, but I don't think that's strictly true any more. Certainly not for females, but even for males. I'm a case in point. I'm fairly sure my body fat percentage is in the single digits. But my LDL-P is over 2000. Which means I'm probably going to have a heart attack if I don't change something.
I wanted to add that I have basically the opposite experience of the OP. I LOSE weight if I don't exercise. I was pretty thin growing up (5'11" 145 lbs.) When I started weight training, I gained about 10 lbs over the course of a year. Then I started lifting even heavier and eating even more and gained about 10 more pounds. The few times that I have taken a break from weight training for two weeks or so, I've lost weight.