I wholly subscribe to the mantra that weight loss is 80% diet, 20% exercise.
For me, exercise helps me lose weight not directly but in ancillary ways. It does contribute to a small deficit of perhaps a few hundred calories a day. When I exercise I tend to eat better and less because I don't want to "undo" the work I did earlier in the day in the gym.
I do not think it's helpful to try to figure out how many calories one burns during exercise.. because you can't!... or aim for "fat burning" versus "heart rate" zones. All the fat burning zone means is that a greater percentage of the cals you burn come from fat. But the higher your heart rate the more calories you burn overall and the harder your heart works... which are the two ultimate goals.
There is something to be said for particpating in exercises of varying intensity throughout the week, and even within an exercise session, but not because one helps you lose more weight.
Beach Patrol once said "use diet for weight loss and exercise for fitness." That sums things up well! I look at exercise completely separately from weight loss. Working my heart, strengthening my joints, building endurance and flexibility are all my goals. Admittedly, body recomposition is too-- strength training helps a lot with reshaping the way your body looks and that's a small goal I have as well.
All this to say I wouldnt' focus on speed/incline/"zones" for calorie reasons. The truth is different people burn different calorie rates in different circumstances. Go by how you FEEL when you decide on a program. Mix it up. As long as you are working hard, like lin said, and moving, that's the goal.