I think if you are both overweight and unfit, the first part of starting to exercise is to increase your fitness. i.e. build up some body strength, endurance etc. etc. all the while losing weight so that you can then transition into more strenuous exercises. (yes this all sounds pretty logical, which it should be).
The worst thing to do would be to start out doing over the top exercise, getting injured and then not being to do anything for a few weeks. So starting with what you are doing is great as you will lose a few kilos and build up some fitness to then increase the workload each week. But i do agree that have a few different exercises to pick from helps to keep the motivation/enjoyment up while doing it.
For me i do the following: walking, squash, weights, boxing, cross-trainer. So depending on the mood i'm in i can do any of these and feel good about it.