Depends on the goal. When you say weight do you mean fat or just plain weight.
By far the way to burn fat would be through some sort of high intensity training that activates the anaerobic metabolic pathway such as HIIT, met con, weight training with little rest, etc.
Losing just plain weight is almost pointless unless it's required by a sport or event that have weigh-ins.
Now that I said that it's only a matter of time until someone disagrees with me...