It really depends on what you like to do, how out of shape you might be, what your physical limitations might be, etc. I'll give you my criteria when I was first starting out, and you can go from there.
I weighed over 300 pounds and found it uncomfortable to walk more than a couple of blocks. I also have bad knees, and I HATED "aerobics" -- I can't pick up fancy moves very quickly, and all the jumping around was uncomfortable. I also have a small living room, so space was an issue. So, I went to CollageVideo.com and discovered Leslie Sansone. She had not yet come out with "Walk Away the Pounds" but had lots of other tapes along the same lines. I bought her original one-mile walk. The things I liked about it were: It met all my criteria and seemed "doable." One think I really like about it is that it's very adaptable, and she emphasizes that if you get tired you can stop doing the knee lifts or arm raises or whatever, and just go back to simple walking. As you get more fit you can add in the other elements, such as hand weights. If you're in better shape than that, she has longer videos, and videos that incorporate other exercise elements.
When I had mastered that, I got a copy of Susan Powter's Burn Fat & Get Fit. Susan understands that strength training is an important part of weight loss. She also understands adapting a program to meet your abilities. So, while this tape was much longer and more intense, it still wasn't very complicated, and you can start simple and work up as you get in better shape.
I also think Kathy Smith has the best overall line of exercise videos out there. You want to stick to the ones that have come out in the last 10 years or so, but if you like traditional aerobics she's got several to choose from. She also has a TERRIFIC strength training set called Lift Weights to Lose Weight. In addition, she has things like kickboxing, latin dancing, Pilates, etc. and is just coming out with a bellydancing video. I LOVE Kathy Smith -- she keeps up with the latest in exercise research and her routines emphasize safety, correct form, etc. Check out her website at
www.kathysmith.com.