I'd just like to add that while running is great, one of the most effective forms of running is HIITs (High Intensity Interval Training). Basically, you run at maximum speed (80-100% of your capacity) for short bursts (10-15 seconds when you're starting out), and at about 50-60% for the warm-up and cool-down periods before and after (around 2 minutes) [1]. You do a total of about 20 minutes of this (and believe me, this will destroy you the first few times).
The results are drastic, and unlike with marathon running, you don't lose muscle, instead you gain it.
You lose fat FAST and gain strength in the process [2]. Can't recommend it enough!
Note: I thought that EPOC (Excess Post-Exercise Oxygen Consumption) meant you burnt calories for the next 24 hours, but that's possibly not as significant as it appears :( [3]
[1]: http://www.sparkpeople.com/resource/fitness_articles.asp?id=... [2]: http://greatist.com/fitness/complete-guide-interval-training... [3]: http://ca.askmen.com/sports/bodybuilding_900/962_popular-met...