There are two types of exercise. Aerobic exercise and anaerobic exercise. Aerobic exercise is typically low intensity training, so your heart rate is pushed to between 60 and 70% of your maximum heart rate threshold (your maximum heart rate threshold is approximately 220 minus your age). When you train in this heart rate range, studies have shown that you burn the highest percentage of fat.
For example, it is estimated the exercise of walking burns approximately 55-60% fat, depending on your intensity. The reason that you burn a higher percentage of fat, is that your body combines oxygen with your fat stores to fuel your muscles. As long as you stay in the low threshold range, you will continue to burn fat. However, long aerobic sessions can actually start to burn muscle as well, which is the opposite of what we need.
Anaerobic exercise burns more fat in total
Anaerobic exercise on the other hand, is high intensity training. Your body burns fuel quicker than the oxygen and fat can supply it, so glycogen (commonly known as carbohydrates) which is stored in the muscles and liver, is called on. Therefore the percentage of fat burned decreases, compared to aerobic exercise, but the total amount of fat burned increases, because so much more fuel is required to provide energy for the high intensity burst. So you are actually burning more fat with high intensity exercise. That is what matters. More fat burned means more calories burned (a calorie is a unit measure of energy). The more calories you burn, the faster you lose weight, given that your calorie intake is lower than the calories burned.