As Gingernut says, it's just a matter of calories in, calories out. To lose weight, you either eat fewer calories or exercise (and therefore burn) more.
From memory, running is about the most efficient way of burning calories in calories burnt per unit time but personally I can't stand it. Something to do with the scenery changing too slowly I suppose!
Cycling and swimming are good exercise generally and have the advantage that there is minimal impact on the joints so very suitable for both those with pre-existing injuries and those whose generosity of proportion make running rather painful.
All the above have the advantage that you don't need any specialist equipment, nor do you need to join an expensive health club.
The secret is to find something that you enjoy doing and do it regularly. Personally, I find the motivation is more lacking than the will and arranging to do some exercise with a mate (who will then get pissed off if you stand them up!) is a good motivator. Generally anything that gets your heart rate up for at least 20 minutes (yes, even that!!) is going to be burning calories. The longer that you are at a raised heart rate, the more calories you will burn. Make sure you don't exceed your aerobic threshold which is generally taken to be 80% of your max heart rate. This is in turn given by 220 minus your age in completed years. Therefore at age 33 (me), my max rate is 187bpm with my aerobic threshold at 150bpm. Anything higher than that and you are going to start producing more lactic acid than you can get rid of and fatigue rapidly.
Hope that helps
Bob