Headless
A mixture of aerobic and resistance training works best.
It's not possible to lose weight in a specific area of the body. When you lose weight, it comes off evenly all over. However, whilst</> you're losing weight, you can tone up specific parts of the body, which is what I think you're after.
Swimming, as crete has just mentioned is an excellent all over exercise because you'll be toning up (anerobic) whilst simultaneously performing an aerobic exercise.
Try to maintain an 'increased heart rate' exercise (swimming, running, step machine, exercise class) for at least 25 minutes 3-4 times a week.
Also, and this bit is really, really important...don't do any exercise you don't enjoy...if going to the gym, or cycling, or hill walking isn't your thing, choose something else.
This is why so many people fail to meet their goals...they pick an exercise routine that they don't like doing.
For me, running is a pleasure - something that I look forward to, and in terms of overall weight loss, it's the exercise that seems to result in the greatest weight loss for the least amount of effort.