To lose weight, you must burn more calories than you consume. The best way to do this is through exercise. Cardiovascular exercise, such as jogging, biking, kickboxing, or dance can help you burn fat and calories and put you well on your way to a slimmer, healthier you. While muscle building does little to burn calories while you are performing the exercises, adding extra muscle will help you burn more calories throughout the day. The best weight loss exercises combine cardiovascular and strength training routines.