So what do I do?
My fitness routine involves 5 types of training: aerobics with weights, high repetition strength training, yoga, functional training and kickboxing. There are many other types of training out there for you to investigate. I recommend that you choose several and rotate between them (a technique called 'cross training'.)
Aerobics with weights
This type of training is what I started with and remains the foundation of my fitness rotations. Combining hi/lo aerobic exercises with light weights (I use a range of 5 to 25 lbs, but I have worked up to this) is the most efficient way to burn off fat and build the muscle that will help you keep it off.
Pound for pound, muscle burns 25 times more calories than fat. One pound of muscle uses about 350 - 500 calories per week to survive - a pound of fat needs about 14 calories per week. When you get the fat down and build the muscle up, you will have turned your body into a calorie-burning machine instead of a calorie-storing machine. You cannot do this without building muscle! When you lose weight, it's not just fat, you also lose muscle, so strength training helps you replace what you've lost plus gain more to help you maintain your new weight.
The best-known advocate of this type of training is the Firm. I started with the Firm and their workouts continue to be the backbone of my training regime. If you decide to try the Firm, I strongly urge you to avoid ordering from Firm Direct. The abysmal quality of their customer service is as legendary as the effectiveness of the workouts themselves. Go to Walmart, Target, or order online at websites like Amazon, Collagevideo, and many other secondary sources. Google it--but do not order from Gaiam (owners of the Firm). Also, I would advise that you avoid ordering the newest Firm system, TransFIRMation system. There have been many problems with people getting DVDs that will not play, and the customer service continues to send them the wrong DVDs as replacements, or more DVDs that won't play. I don't know what is going on there, but I know for myself I am going to wait a year or two before I order any of these workouts. By that time, Gaiam will have repackaged them to be sold individually rather than in a set, and hopefully by then the kinks will be worked out.
I do highly recommend the Firm Body Sculpting System 1 (the one that uses the Fanny Lifter), Body Sculpting System 2 (Fanny Lifter and Sculpting Stick), Body Sculpting System 3 (uses the Firm Box, but that was a piece of rubbish and you can use the TransFIRMer for these workouts just as well) and Body Sculpting System 4 (the TransFIRMer system). You can get any of these workouts on the secondary market at Amazon for around $4.99 (choose the 'used and new' option rather than the amazon one). You should be able to pick up a TransFIRMer for $50.00 or less on any website--and you'll probably be able to find them in Walmart or Target.
I also use several workouts by Cathe Friedrich for cardio and cardio/weight circuit training.
High repetition strength training
This type of weight lifting uses low resistant (ie, light weights--although 'light' is relative!) lifted for many repetitions. Be warned if you are a beginning exerciser it might be not only a challenge for you but also boring. I didn't start doing this training until I'd been using the Firm pretty much exclusively for two years. I was ready to move on to a new type of training. Cross training keeps the body guessing and adapting and helps you continue to grow in your fitness level.
You can find several workouts that use this technique, but most them tend to be for the intermediate to advanced home exerciser. That doesn't mean you can't use the workouts. Just use lighter or even no weights to begin with and stop for breaks when you need to. Doing this may be discouraging, but it's important for you to let go of your need to be perfect. Working out with a trainer who humbles you a bit is good for you. It's something to work toward. Tomorrow, you might do a few more repetitions. In a week or a month, you will lift heavier. There's always tomorrow, because this working out business never ends!
For this type of training, I use Jari Love's Get Ripped series. These workouts are progressive--each one is harder than the last. So far she has released four of them: Get Ripped (by far the easiest), Get Ripped Slim & Lean, Get Ripped to the Core (the first in the series to use four-limb movement, meaning you work the lower and upper body at the same time--that is so much harder!!), and Get Ripped 1000 (which is an interval training workout of four-limb movement and high impact cardio intervals--it is a killer). Some time this year she is supposed to release the next one, Get Ripped & Chiseled--if it's harder than Get Ripped 1000, I'm in big trouble! 
Yoga
I resisted yoga for a very long time. I guess this was because I was so stiff and inflexible, particularly in my hamstrings, and because I struggle with perfectionism, it really frustrated me that I couldn't do even the most basic yoga poses without straining and feeling like a failure. I've finally taken to yoga in the last four months, having incorporated more and more yoga into my monthly rotations since June. This month's rotation includes 12 yoga sessions! There are many types of yoga practice, but I have settled on 2 hatha yoga forms: vinyasa and kundalini.
Vinyasa yoga is a flowing series of yoga postures linked by continuous movement and the breath. It is often called 'power yoga'. Admittedly, I am new to yoga DVDs, but so far I have to say Rodney Yee's workouts are very, very good. I have Power Yoga Total Body and Yoga Burn, both excellent vinyasa flow workouts. I also have Eion Finn's Power Yoga for Happiness (which is more advanced and can be intimidating). For absolute beginners, Budokon Beginning Practice is non-threatening and mercifully short, and the Firm's Power Yoga teaches you only postures without even telling you the yoga names for them or mentioning any aspect of mind-body-spirit (what yoga workout fans call the 'woo-woo' factor). Any of these would be a good place to start.
Kundalini yoga probably blows the top off the woo-woo factor charts. In fact, this form of yoga might freak you out or even scare you if you are not open to eastern mysticism. This type of yoga is a system of meditative techniques and movements that focuses on psycho-spiritual growth and the body's potential for maturation. The concept of intensified life-energy is central to the practice. It also gives special consideration to the role of the spine and the endocrine system in yogic awakening.
Kundalini yoga involves holding certain poses for an extended length of time (usually around 3 minutes or more) alternated with vigorous movement and broken up with short sessions of meditation between exercises. Lots of focus is given to breathing techniques, in particular the 'breath of fire' (rapid, light panting through the nose, much like sniffing). Chanting and singing are also incorporated. I have fallen in love with this type of yoga, at least the version of it taught by Ravi Singh and Ana Brett. I have collected five of their workouts so far, and will keep going until I have them all, I'm sure!
Functional training
In the world of exercise there's a saying, 'You always hate what you need most.' If this is the case, I guess I need functional training most! I don't really hate it; it just has more of a dread factor for me than any other type of workout. I include it in my regime because it is so good for me. That said, I rarely include it more than 2 or 3 times a month! Bad me! 
Functional training involves movements that are specific--in terms of mechanics, coordination and/or energetics--to activities of daily life. It involves mainly weight bearing activities targeted at core muscles of the abdomen and lower back and attempts to adapt or develop exercises which allow individuals to perform the activities of daily life more easily and without injuries. Several of the Firm's latest workouts incorporate functional training.
I have a set of four functional training workouts done by Tracie Long, Jen Carmen, and Susan Harris (all former Firm instructors) called TLT (for Tracie Long Training). They are tough! Beginners will have to modify and use light weights. The moves are all four-limb, complex movements, and attention to form is vital to perform the exercisers properly and avoid injury.
Kickboxing
This is the latest addition to my training regime. I've chosen Kick, Punch & Crunch by Cathe Friedrich and KickMax, also by Cathe.
Cardio kickboxing combines elements of boxing, martial arts, and aerobics to provide overall physical conditioning and toning. It consists of controlled punching and kicking movements based on martial arts. Practicing kickboxing moves can burn up to 350-450 calories per hour and also help to improve balance, flexibility, coordination, and endurance.
My rotation for this month consists entirely of cardio kickboxing and yoga. I just felt like a break from weights! (Of course, I might cave in and do some Firm. I don't think I've gone for a month without doing something from the Firm in the last three years!)
Before you burst into tears because you're completely overwhelmed or fall off your chair laughing or say, 'Yeah right, I think I'll stick with just having carrot sticks and fat free cream cheese, to heck with this exercising crap'--please remember that I started out with three videos. Three videos, that I used over and over for months. Then I added another. Then another. It's taken me years to collect all my workouts and do all these different types of exercises. Don't be overwhelmed. Just pick something and get started. xx