Running is a very time efficient form of exercise, and also cheap. In terms of getting out there, you need some old shorts and a T shirt, some shoes, and then you step out of your front door. For the time you spend exercising, the effect on your fitness is probably the highest - something like swimming is probably also quite good, but then you have to drive to the pool. Running has a low carbon footprint too.
As far as burning calories, it certainly seems to be working for me. Several people have commented that I have lost weight. Many of them even seem to be sincere, rather than just following hairdresser protocol. (You've been to the hairdresser - "your hair looks lovely!" You've taken up running - "you've lost weight!") I'm even starting to think I may have lost weight, although I don't own any scales so can't confirm it. About a month ago I did manage to lose 4kg in as many days, simply by using two differerent sets of scales in the right order.
The thing that is nagging at the back of my mind, though, is this: I didn't think I was that porky to begin with. If everyone is noticing that I'm losing weight, then how far had I let myself go? It's a sobering thought.