Energy fuels
Carbohydrate, fat and protein are the three main energy fuels for exercise. Each of these nutrients is found in differing amounts in foods, and are broken down in the body to provide a certain quantity of energy - measured as kilocalories (kcal) per gram (g):
carbohydrate - 3.75kcal/g
protein - 4kcal/g
fat - 9kcal/g
This means 1g of fat releases more than twice as much energy as 1g of carbohydrate or protein - but this doesn't mean it's the best energy fuel for exercise. The preferred energy fuel for the muscles is glucose, especially as exercise intensity increases.
Glucose is formed from the breakdown of carbohydrates (sugars and starches) in your diet, and is stored as glycogen in the muscles and liver. However, the body can only store a limited amount at a time - a person weighing 70kg (11 stone) will store around 450g, or 1,700 kcal, of glycogen. If you want to keep training efficiently, you need to keep your glycogen stores topped up.

Anaerobic activities only use glucose, whereas aerobic activities use all three fuels - although protein is used to a lesser extent than glucose and fat.
During low-intensity exercise, you use a greater proportion of fat, a smaller proportion of glucose and fewer calories. As you increase the intensity, your body will gradually use less fat, more glucose and more calories - so most of the fuel during moderate and high-intensity exercise will come from glucose.
If you continue to exercise aerobically for a longer period, your body will gradually use more fat and less glucose in an attempt to conserve the limited glucose stores. The fitter you are, the more efficiently your muscles use fat and the longer you can work out.
It's that simple: the longer you work out, the more frequently you train, the more calories you use. But remember, one step at a time - after all, Rome wasn't built in a day!