Do you currently run, walk or bike, or use the eliptical or treadmill at the gym? If so, you can burn more calories in the same amount of time that you are currently exercising, just by playing around with your speed, incline and resistance!
I first learned about this technique when I was training for a 10-mile run. Adding high intensity intervals of sprints (called fartleks in running), with a recovery period, can help you increase your endurance and burn more calories. Runner's World has a great article on how to add speed to your training.
To rev up your workouts using cardio equipment at the gym, with a push of a button (or the turn of a knob), you can increase your resistance or incline and burn more calories.
30 minute Treadmill
I am always discouraged when I run for 2 miles on the treadmill, and "only" burn 200 calories. (Is it bad to want more for my exhaustion?!)
If I want to make the calories I burn more in the 320 range, in the same time period, I can add an incline (simulating a hill). There are many ways to accomplish this, but my favorite is to use a TV show that I'm watching and increase the incline by 1% (about every 15 seconds) during the first half of the commercials, then reduce the incline by 1% during the second half of commercials. I usually stop when I get to an incline of 4. Then, you run (or walk) regularly for 3 minutes (or until another commercial comes on), and start the incline/decline again. Repeat until your 30 minute TV show is over, and you've burned more calories!
You can also do this same technique on any cardio equipment you use in the gym. No TV? Use a favorite song (the "chorus" can be your "commercial") or use a stopwatch or the equipment's timing mechanisms.
Taking a cycling or spinning class uses this same technique: when the music gets faster, the instructor uses it as a hill workout and has the cyclists crank up the resistance.
You can read more techniques here.
What are your exercise secrets to burn more calories in the same amount of time?