I use my HRM to tell me during a workout (cardio and weights) how many calories I've burned in that session--I like having that number! I also use it to tell me what my HR is during intervals, so I can move from VERY high to medium-low on and off. It's motivational. However, everything I've read and heard (from lifting pros to Jillian Michaels) is high intensity is best. Throw the "fat burning zone" out the window. Jillian feels that working at 70-80% of your max is the way to go, and many others feel intervals (at 75-85% max for 1 minute, then at a walking pace for 1 minute) are excellent for fat loss.
That's what I'm sticking to, anyway. If you love high intensity, go for it, girl!