The best exercise to burn calories is running, but that being said, the best exercise really is the one that you enjoy doing. If you have fun and are satisfied, it will feel less like work and it will become part of your life.
If you're using the elliptical, make sure you increase the resistance as you get more fit, it's not a work out if you're not sweating. If you can hold a conversation for the entire workout, you're not working hard enough, you should feel an increase in your heartrate and difficulty breathing.
My tip is to find an activity that you enjoy and then the gym doesn't feel like a chore, it's just training to help you perform in your sport. I personally love martial arts, it's a fantastic workout and a good companion to weightloss. Good luck!
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