Specific forms of exercise have their own benefits. Swimming is great for the joints and provides a balanced muscular workout and relaxation. Cycling builds knee muscles and can produce a feeling of exhilaration. Dancing is one of the best aerobic activities of all, because it's fun, never boring, and provides a thorough workout. Once you have developed good habits of regular exercise, begin to add stretching, muscle toning and strengthening to your routine.
Yoga is a great way to stretch, improve flexibility and experience deep relaxation.
Breathing exercises, meditation and other forms of relaxation are important to help neutralize stress. Personally, I walk whenever possible. I use a Stair Master occasionally, and go mountain biking in the desert. I also swim and do some weight training. I don't think that calorie burning is the best guide to how much exercise you should do.