The best exercise is the one you like doing and will actually WANT to do rather than seeing it as a burden or punishment that you have to do. If you like doing it you are much more likely to do it consistently and consistency is the key to any weight loss program.
For example I like to play tennis. When I was playing in a tennis league that wasn't very competitive I was able to lose weight without feeling like I was trying really hard at it. The key was that it was social, we had matches about 3 or 4 das a week, and most importantly it was FUN. I didn't burn as many calories as I would have if I had just spent that time running on the treadmill. however, I wouldn't have stuck with the running because I find it boring.
pick what you like and stik with it.