According to a study cited in the December issue of Shape magazine, "Women who did [20-minute interval training] lost a whopping three times more body fat during a 15-week period than those who worked out for 40 minutes at a steady effort level. Researchers believe bursts of high-intensity activity increase levels of fat-burning compounds in the body."
Interval training is great because, as stated above, it burns just as much or more calories in a shorter amound of time. Think about it: If your body because accustomed to moving at the same pace then it will eventually not need to work as hard to perform that activity. But if you keep it "guessing" then you will be able to burn at your maximum potential every time.
Basically, all you have to do is jump on a cardio machine and leave it on manual. Warm up for about 3 minutes, and then get started. You can really set your own intervals, but the easiest way is to do 60-second intervals and 90-second recovery periods. According to Shape, "During the intervals, it should be tough for you to eke out more than a few words between breaths." And don't forget to cool down for a few minutes as well.