Seige - right in one, that is indeed intervals. So far as I know the jury's still out on the efficacy of these sorts of routines, but it really comes down to personal preference.
Sprinting creates higher impact than jogging and is therefore harder on your joints; the reduced stress on a sprinter's body comes from him only running 500m to a distance runner's 10k. The issue here of course is that you can't just go out, make a mad dash 100m down the street and then call it a day; that'll get you nothing but odd looks from the neighbours.
My usual suggestion when asked about this is to actually start out walking. Make a conscious effort to increase your pace and take a walk around the neighbourhood. Bring a walkman if you have one. Walking is a very effective (some say the most effective) way to lose weight.
The thing is, if you're interested in burning the most amount of calories and therefore losing the most weight, you're better off keeping your heart rate lower (generally the 120-140 range, depending on your age) and going longer than getting the heart rate up to 160 for half an hour (or 20 minutes, whatever you can manage). Sustained exercise is the only way to lose weight, which is why it's important to try out a lot of new things and look for something you really enjoy. You're going to be spending a signifigant portion of your week on this and you just won't stick to it if it feels to much like work.
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