There probably isn't any one exercise which is best because I understand that it is better to do a variety.
According to a book I have been reading the best cardiac fat burning exercise is one which leaves you slightly breathless but still able to hold a conversation. Anything more than that and you enter the realms of anaerobic exercise which is not an efficient fat burner, so don't think you have to completely exhaust yourself to get results.
It is also good to do strength building exercises to build muscle which in turn will mean your body will naturally need to burn more calories.
Apart from walking I exercise at home using EA Sports and EA Sports More Workouts, The Biggest Loser and I just got Zumba (all on the Wii). I have also been enjoying some Leslie Sansone Walk From Home dvds which I got off QVC and I also have a pilates machine which I use a couple of times a week. All these combine cardiac and strength training.