Much like a diet, there are plenty of ways to exercise, and most are effective. Find something that you enjoy. If you HATE running on the treadmill (like me), don't do it. Find something you do enjoy and set some goals. Maybe it's Spin Class, Weight Lifting, Cross fit, Hiking. Take that thing and make it YOUR thing and build on it.
I hate running on a treadmill and tried for years to get in shape. About a year and a half ago I found I really enjoy a good Spin class and also came across HIIT. Along with more focused eating habits I've dropped 40 pounds, built muscle and just feel more energetic and can finally see abs I haven't seen since high school.