Why one should work out... there are many reasons.
First, (I don't do it, personally) you can meet girls at the gym.
Second, our bodies are made to move around, but most of today's jobs don't have you running or lifting stuff or whatever. This is the other big reason people are fat now. (The first reason being most people today have very poor eating habits)
Third, numerous studies have shown that working out promotes testosterone. That means, your sex drive will be in higher gear, you'll have more energy, etc.
Fourth, it'll make you look better. That's pretty much the reason most people work out, I guess.
Also, Pedro, I noticed you seem to think working out = bodybuilding. I know a lot of guys who work out and are muscular and cut, but aren't huge. In fact, the Men's Health cover guy look is what most of the guys at my gym are striving for. Also, there IS a difference between "toned" and "chiseled." Toned is what fitness competitions are about, you know, with the thin chicks performing onstage. Chiseled is well-built (not scrawny like soccer players) but not overly so. However, a study (I don't remember where it was from, though, probably Men's Health or some such magazine) said men overestimate what women like by as much as 20lbs of muscle, so you do have a point in saying guys want to get big.
Also, for confidence... it depends on what level. Sure, if you do stand-up comedy, you'll be more confident about rejection, because you'll be used to people not reacting the way you intended, or something. But most guys' hobbies are limited to watching TV and playing on their PlayStation2. Plus, have you ever enjoyed the euphoria after a great workout? (Euphoria from endorphins and such, of course) I doubt a chess player could enjoy the same feelings.
And working out doesn't have to be in a gym with weights and such. You can work out by playing sports, or cross-country running, or biking, or any other physical activity.
Basically, there are some things you get from working out and sports, such as the fitness, that you won't get anywhere else.
I'm still wondering why we SHOULDN'T work out though?