Step 2: What do I want to achieve?

Picture of What do I want to achieve?
There are countless types of training methods, but they can be divided into two very generic categories:

Aerobic exercise (aka cardio)
Aerobic exercise involves consumption of oxygen over extended periods of time (more than a few minutes and up to several hours) at a moderate intensity level.
Examples of aerobic exercise are walking, running, swimming, cycling. During this type of exercise oxygen is used to break down a carbohydrate called glycogen into glucose and then into energy, if there is lack of this carbohydrate fat is used to produce energy . Fat produces a lower quality energy, resulting in a diminishing performance, and loss of fat .
Aerobic exercise should be performed for at least 30 minutes per session to produce improvements in the cardiovascular system, 45 minutes being a better compromise between time and results.
This is a very simplified explanation of how fat is burned, and why if you eat too many carbohydrates you will see very little results, simply because your body won't have a reason to burn fat (we'll talk about diet in another step).
Benefits of this type of exercise (over time):
Increased endurance
Strengthening of the hearth muscle, increased respiratory performance
Better circulation, lower blood pressure, increased capacity of oxygen transportation by the red blood cells
Muscles toning
Fat loss, increase in metabolism and storage of energy in the muscles
Faster muscle recovery

Aerobic exercise, while not as intense as anaerobic exercise, should still be performed with the personal maximal effort, keeping the heart rate at 70-85% of it's maximum for a length of time between 30 and 45 minutes. So this is still a high intensity exercise, you should progressively build up to it, as your heart and muscles adapt to your training, we'll talk more in depth about aerobic exercise in the next step.

Anaerobic exercise
Anaerobic exercise generates energy in a different manner, and it also differs from aerobic exercise by the higher intensity and lower duration of the exercise. During this type of exercise, after a while, the production of lactic acid exceed the capacity of the body to remove it, resulting in fatigue and muscle "failure" (the kind of failure bodybuilders talk about all the time).
This type of exercise burns more energy than the aerobic one and also uses more oxygen (required to transform glucose and fat to energy). The maximal oxygen consumption is measured by VO2, volume of oxygen per minute, and it's a good indication of the fitness level of a person, there are a few simple DIY test you can do to measure your VO2, you can find more info here: http://www.brianmac.co.uk/vo2max.htm
A few benefits of anaerobic exercise are:
Increased endurance for high intensity exertion
Muscle growth (hypertrophy)
Increased metabolism
Increased bone density
Increased tolerance and faster recovery to lactic acid production

This instructables will focus primarily in the integration of anaerobic and aerobic exercise, as they both have their strength and weakness. For a person in average fitness level this approach will be of great benefit, as the aerobic training will improve max VO2, resistance and will burn fat, the anaerobic will increase high intensity endurance, will tone muscles both in size and strength, storing into them ATP, creatine phosphate and glycogen (through your training diet, you don't need any supplement).

Interval Training
I've seen some popular commercial training programs presenting interval training as the new revolutionary type of training, short, intense, and with great results. The truth is that interval training has been around for quite some time, and it's a great tool for getting in shape, it's a mix of aerobic and anaerobic exercise.
Interval training consists of time "intervals" of high intensity followed by rest or low intensity exercise for a period of time. The more intense the intensity and the shorter the rest periods, the shorter is the overall time, or the repetition of high-low sets.
It's particularly great for people who have little time for training, even 20 minutes a day of this type of exercise can bring visible effects, especially if a good diet is followed.
For some people the downside of this type of training is that it's really fatiguing, so you'll need a lot of motivation to complete the session, and you'll need a timer or a pre-recorded mp3 track with timed instructions (you can even make one for yourself).

But what would YOU like to achieve?
A few examples:
If you want to lose fat and tone your muscles follow this instructable as is.
If you want to lose fat and be a runner concentrate your training with a majority of running sessions, and a few anaerobic session; a runner needs a light agile body, so excess of fat and muscle will cause inferior performance.
On the other hand, if you want to build muscle and strength you'll want to train with few intense repetitions and allow your body enough rest to recuperate between sets, running will be beneficial to lose extra calories and burn fat, but too much running will be counterproductive.
If you want to increase performance in your sport, train for your sport and integrate with new challenges, too often people hit a plateau where they don't seem to make any progress. They need to rethink their training, differentiate and integrate it with a new regime of exercise.
In short, train for what you want to achieve, the theory is there to help you decide how you should train, not to burden you with too much information to analyse.

Recuperation times
For different results you might want to use different rest times between sets, you can find out more about it in this article: http://www.bodybuilding.com/fun/issa111.htm