Nothin's worse than thighs that rub together, huh?
Here's the thing .... go lay down on the livingroom floor and brace one foot against the sofa ... press inward as if you'd like to cross that leg over you but can't because the sofa is there. Now grab your inner thigh. Deep inside you'll feel tendons and things but ... the soft handful you've got is fat. It's got to go .....
I will direct your question here: Top Ten Exercise Myths #1 will answer your question....
Having said this once you have the fat gone from your legs and the rest of your body, my favourite exercises are all varieties of lunges, walking lunges, one legged squats, squats, deadlifts... Any and almost all leg exercises...
Inner thigh
