A mixture of running, cycling, swimming and weights. I'm marathon training, so the main focus is on running with the rest for cross training/commuting.
Don't be self-conscious about going to a gym. I was 260lb when I started at the gym and no-one batted an eyelid. In fact all it means is that now they know the full extent of what I've lost, rather than if I'd already lost some of it when I first turned up

If you go to a gym you can get good advice from the trainers about what exercises would be good for you, and get something more tailored than an exercise dvd.