There are two types of exercises - aerobic and Anaerobic activities.
Aerobic exercise is any type of cardio (cardiovascular conditioning) which increases your heart rate for some time, such as running, jogging, cycling, and lap swimming.
Anaerobic exercises are a workout that requires maximum effort for a short period and involve quick bursts of energy such as callisthenics, weight lifting, jumping, or sprinting.
Running and an hour of aerobics in water burns the most calories. Other types of aerobic exercise are good for weight loss too!