I found that going to a boxing gym helped me lose weight AND gain confidence in myself. Plus it's a great way to relieve stress. I would caution though that it probably needs to be a legit fight gym (the trainers should have pro/am experience and it definitely helps if they have a fight team, or at least have pro fighters training there). Avoid those 'boxercise / aerobic boxing' joints, they teach you nothing but bad habits and sloppy footwork. Most real gyms are pretty cheap too, hell, you can find programs at the YMCA in many cities or the P.A.L.
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