The NYTimes has a short entry about research on this question, which is one that has interested me for a while. Do people feel hungrier or less hungry after exercise (and why)?
I have long been curious about his and have asked a lot of people which way they go. The answer is that it seems to be very much dependent on the individual. About half the people I ask get hungrier, and half feel less hungry. I feel less hungry. If a workout is really, really intense, I actually feel a little nauseous. The researchers cited in the NYTimes article seem to think the reasons are found in the brain, but I think there is a neural conversation that happens between the gut and the brain on this issue.