what exercise ...

The exercise that burns the most calories is the one you like doing because you're going to keep doing it. Seriously. It doesn't matter if a HIIT session that you absolutely dread is what would burn the most calories per session if you stop going. That said, any exercise that moves your whole body will burn more calories than one in which only your lower or upper body are involved. How fast you do it will have an impact on what you burn, too. In other words, running at 8 MPH for 30 minutes will burn more calories than running at 5 MPH for 30 minutes which will burn more than walking at 3 MPH for the same time frame.

I would lift progressively heavier weights rather than the same light ones and I even recommend it over doing long cardio sessions. You're going to get better results in the end from lifting progressively heavier weights over a long period of time.