If you go to a gym, you may see many machines that state that on a particular program you will burn the most fat or that a particular work zone is best for fat burning. Are this legitimate claims? Most of them are not for the simple reason that you can burn fat in any zone as long as the exercise is aerobic, i.e., oxygen is needed to supply the energy. The more you increase the intensity while staying in the aerobic zone, the greater will be the amount of fat that you can burn.
Exercising in the anaerobic zone (in which energy is derived in the absence of oxygen) relies mostly on carbohydrates. Thus, for maximum fat burning, you should be as close to your anaerobic threshold as possible, i.e., at the extreme upper limit of the aerobic zone. Here you will burn the most fat in your workout. This applies to all forms of aerobic exercise, whether it be riding a bike, running, working on stair and elliptical machines, etc.
For more information, see Explosive Running.