A British study on the energy expenditure in adolescents playing video games indicate the energy expenditure while playing Wii Sports games isn't significantly higher than while playing a more passive game like Project Gotham Racing 3:
Eleven physically-fit teenagers, ages 13 to 15, were selected for the study. After measuring expended energy in a resting state using five sensors placed around the body, the participants played 15 minutes of Project Gotham Racing 3, followed by rounds of Wii Sports boxing, tennis, and bowling for 15 minutes each. Though there was a marked difference in expended energy between rest and PGR3, Wii Sports definitely has a lead on the racer in physical activity. But not by much:
The study concludes that the physical activity "was not of high enough intensity to contribute towards the recommended daily amount of exercise in children... In a typical week, active gaming rather than passive gaming would increase total energy expenditure by less than 2 percent."