It does have an effect. Example: The factory i work in is not air conditioned so I sweat my balls off during the summer. The first month I was there I lost 20 pounds. Some of it was from just being active - it wasn't particularly hard work, just constant moving - but a lot of it was just from sweating. I rarely have to piss once during a 10 hour shift, but I am constantly drinking water, Gatorade, and sodas to keep my body temp down.
When I go to the gym I weigh myself before each workout. One day when it was only in the 80's as opposed to over 100 (didn't sweat nearly as much but I had been keeping up the fluid intake during the day) I weighed myself before and after my cardio workout just out of curiosity. I lost 2 1/2 pounds in 20 minutes. The only difference between the before and after was I spent 20 minutes with sweat literally running off of me.
Best I can figure if you're active you really don't retain much water weight. If you're not, you retain a lot more of it. I'm completely talking out of my ass here though, since I have nothing to back it up other than limited personal experience.