The biggest myth I've encountered most often is that you need to kill yourself in the gym to get results. Like, if you're not falling on your feet after a workout, then you wasted your time. In reality, progress doesn't depend on how intense one session is, but on whether you can actually stick to it regularly in your schedule. Someone who works out three times a week at a comfortable pace will achieve more than someone who goes all out once a month and then spends a month recovering.
Second thing: there's no universal plan that works for everyone. Some people train well with strength training, for others it's boring and they'd rather do cardio or yoga. The main thing is to pick something you'll actually do, not something that's supposedly "the most effective." If you hate the treadmill, it won't help you, no matter how effective it looks on paper.
One thing people often miss: you don't notice progress right away, and lots of people quit after a couple of weeks, deciding it doesn't work. The truth is, your body needs two or three months before you actually feel anything. Not in the mirror, but in how you feel - your breathing gets better, climbing stairs gets easier, your back doesn't hurt. Keep that in mind.