New Study:

Supervised exercise versus non-supervised exercise for reducing weight in obese adults.
Nicolaï SP et al
J Sports Med Phys Fitness. 2009 Mar;49(1):85-90.

This research study looked at the effects of training with supervision/instruction (ie a qualified trainer) versus "advice".

Two groups - Group one met a trainer twice a week for 4 months (as a group).
Group two received basic advice to increase physical activity and access to a fully equipped gym (any exercise they did was unsupervised).