If you just want to lose weight, all you need to do is change your diet. I'm a zone diet fan, but there are lots of other ways to go. Just keep your carb/protein/fat ratio to around 40/30/30 and cut out refined carbs, replacing them with fruits and vegetables.
If you want to get more fit (stronger, faster, more agile, etc.), you can't beat CrossFit. It's highly effective, and you can do it at home. http://www.crossfit.com/
- go, read, watch the videos, and get some.