High Intensity Interval training is the idea that if you alternate pushing your body in short bursts of high intensity, and then resting for a short period of time, you can actually increase the amount of weight you lose in a shorter period of time.
The reason that high intensity interval training works so well is because the amount of energy (which burns calories), that you exert through short bursts is at a minimum twice as much as if you were exercising at a consistent level.
A great example of high intensity interval training would be the difference between jogging and sprinting. If you were to jog down the road for 30 seconds, you would barely even start to sweat or breath hard. But, if you sprinted down the street for 30 seconds, you may not even be able to make it. Now, lets take this to a different level.
If you jogged for 1 minute at a consistent speed, you again would barely be breaking a sweat (of course depending on your physical condition). But if you sprinted for 30 seconds, and then rested for 30 seconds, you would have burned 2-3 times as many calories in the same time period. The end result and benefit of the high intensity interval training is either you can accomplish the same fat burning goal in half the time, or you can double or triple the amount of calories you burn if you exercised the same amount of time.
Great exercises that you can do high intensity interval training with:
Stationary Bike
Treadmill
Elliptical Machine
Jumping Jacks
Squat Jumps
Jumping rope
The key is to go hard for a short period of time, then rest for the same period. If you do this consistently, you will see awesome results and will see the fat burn off your body quickly.