Running burns more calories than almost any other sport: around 500 an hour at a reasonable speed of 10km an hour. You use all your leg muscles, even if you don't feel it: running works all of your legs, not just your thighs.
After around 40 minutes, your body will have used all the energy it has available and starts burning fat reserves to keep you going (yay!). Running at 10km/hour, ie still breathing steadily, a jogger burns 30% fat on a 30-minute run, while a marathon runner burns around 60% fat during the third hour of a race.
Combined with a balanced diet, targeted running is a powerful weight-loss tool because it doesn't just burn energy (calories): it also burns fat and improves the body's ability to burn fat even when at rest.