I take a combat class. It's actual martial arts moves instead of just a cardio-type environment and they play good music so it gets pretty intense. I also like running sprints to my ipod (and I just pick a song that really pumps me up, haha). The thing I like about sprints is I get nervous standing on the sides of the treadmill waiting to go. Running at 12.0mph is pretty intimidating, especially when you realize the treadmill isn't going to slow down for you if it gets too hard. It's definitely a rush.
What about mountain biking or something? I don't do it personally, but that can definitely get pretty extreme depending on the types of trails you work up to.
Living in Colorado and growing up in the mountains, I feel pretty lucky in that I was never allowed to shy away from trying something new and exciting.
My first job ever was working for a white water rafting company and I've been a river rat ever since. I also love to hike, snowshoe, and snowboard.
Unfortunately, I didn't lose weight doing them, but I do feel fortunate that being into the outdoors means I like being active. And it's a lot of fun, too.