The New York Times has a great article describing the use of treadmills while working at your desk. Research shows that without breaking a sweat you can burn an estimated 100 to 130 calories an hour at speeds slower than two miles an hour. The advantage of this approach is you can sleep in and ditch getting up early to hit the gym. Keep in mind such low intensity exercise works for weight loss, but doesn't work to help your heart.

Some other useful links:

Office Walkers - A Ning Social Network for "people experimenting with the treadmill desk and the idea of walking while working, developed by Dr. Levine at Mayo Clinic." 

Treadmill Desk  and Treadmill Workstation - Blogs about slowly walking on a treadmill while working.

Strategy 51. Just Don't Sit, Site Actively -  You can burn up to 350 calories a day by changing how you sit.