We burn more immediate calories doing cardio. But in the long run, lifting and building muscle will use more calories because muscles are the little furnaces in our bodies that burn calories. When you add a pound of muscle, your metabolism will increase and you'll burn somewhere around an extra 20-25 calories a day, awake, asleep, watching TV etc. It doesn't sound like much until the pounds of muscle start adding up.
There's also something called EPOC -- excess postexercise oxygen consumption -- that keeps your metabolism running high for 24 hours after a weight workout. So even if you don't see the calories being burned while you're in the gym, your body is using more calories for the rest of the day and into the next.
Both kinds of exercise -- cardio and weights -- are equally important partners in our weight loss!