The fitness world is full of myths that never die. The "fat burning zone" is one of those. This irritates me because it is blatantly wrong. It seems like every piece of 'cardio' equipment has a little chart showing people what heart rate to exercise at to burn fat. Kind of like the body has a switch to shift into burning fat or not. It doesn't.
At rest, you get about half of your cellular energy from fat and half from carbohydrates (there are other sources but they are insignificant). If you are on a very-low carbohydrate diet, even more of your energy will come from fat. These ratios usually hold true for exercise at low-intensities (such as walking), thus these lower heart rate levels (50-65% of your heart rate max) are termed the "fat burning zone." Exercise at higher intensities results in a shift to a greater percent of energy from carbohydrate and a lesser percent from fat.
Ironically, research shows that people that follow a low-level (HR in the fat burning zone) exercise program (without diet modification) lose little fat. This exercise is not very metabolically demanding (total energy expenditure), is easily compensated for by a slight increase in appetite, and does not impact resting metabolic rate.
Exercise that has an impact on fat mass (even without diet change) is actually high to very high intensity exercise. This includes high-intensity sprint-type intervals, circuit strength training, and heavy strength training (squats, deadlifts, presses, rows, etc). These exercises actually produce heart rates higher than 60% of heart rate max, and can be up to or higher than your max heart rate (that is working at levels, briefly, higher than intensities that cause maximal heart-rate levels). Ironically, they all use mostly carbohydrates as a main fuel source. How can that be? The irony. How can burning high levels of carbohydrates result in fat mass loss?
It turns out that our physiology is just slightly more complicated. The reason that high-intensity exercise is more effective at helping you actually have a net fat loss is due to it's effects on hormonal control of energy regulation. The carbohydrate (mostly glycogen) that is used needs to be replaced. That process requires energy. Additionally, the high-intensity exercise stimulates the release of several stress hormones (epinephrine), and several muscle-growth/repair hormones (growth hormone), both stimulate states of higher energy use (post exercise). The net result is a loss of body fat.
Exercising in the "Fat Burning Zone" (low intensity, 40-60% of your heart rate max) does offer health benefits (improved mood, lower blood pressure, etc), but it has a very weak effect on body fat loss, especially without diet modification (for those eating a standard American Diet). Unfortunately, the myth of working in a "Fat Burning Zone" still exists. Personally, I like to think of the free-weight area of any gym as the "Fat Burning Zone!"