I've covered before why cardio work out is an overrated method of burning fat. Here's another article confirming this:

To their surprise, the researchers found that none of the groups, including the athletes, experienced “afterburn.” They did not use additional body fat on the day when they exercised. In fact, most of the subjects burned slightly less fat over the 24-hour study period when they exercised than when they did not.

Here's why:

Each of Melanson’s subjects spent 24 quiet hours in the calorimeter, followed later by another 24 hours that included an hourlong bout of stationary bicycling. The cycling was deliberately performed at a relatively easy intensity (about 55 percent of each person’s predetermined aerobic capacity).

Cycling, like much of the traditional cardio exercise programs, really only burns fat during work out session. The problem is that when you've done your running or cycling, you will still want something sugary and you'll still eat more food than usual. This means you gain at least the amount of calories you just burned:

“The message of our work is really simple,” although not agreeable to hear, Melanson said. “It all comes down to energy balance,” or, as you might have guessed, calories in and calories out. People “are only burning 200 or 300 calories” in a typical 30-minute exercise session, Melanson points out. “You replace that with one bottle of Gatorade.”

I noticed the change in metabolism as soon as I began lifting weights at the gym instead of just running or using machines. Commonly my afterburn lasts for 48 hrs, sometimes more. No wonder I eat tons of food and still cannot get enough. And my aim is to remain lean and not put on fat--the guys who just want to get insanely big have to go to McDonald's a few days a week to get by.

“If you work out at an easy intensity, you will burn a higher percentage of fat calories” than if you work out a higher intensity, Carey says, so you should draw down some of the padding you’ve accumulated on the hips or elsewhere — if you don’t replace all of the calories afterward.

This is why all serious fitness models do powerwalks every day: high-intensive training is not enough. You need low-intensive work out to get really lean. Clean the house, work in the garage, chase the kids down the hall etc. However, there's no question that resistance training beats all other popular forms of work out in terms of burning calories. Of course, exercise cannot be separated from diet. Yet, the irony is that many people who light weights end up eating "too healthy," e.g. avoiding all kinds of fatty and high-carb foods. I've been eating fatty sausages these couple of weeks and noticed increased results compared to just eating lean meat and fish. There's apparently room for experimentation.

So, to reiterate: cardio exercise is good for you, but ineffective at burning fat, since you'll simply gain all those calories again after work out. More and more people, especially women, are discovering the power and effectiveness of resistance training. Start lifting weights--it's fun, demanding, and it makes you mentally and physically powerful enough to take on any challenges in life.