For even more impressive effects on body composition: aim for exercise forms which elicit a positive hormonal response. This means lifting really heavy things (strength training), or interval training. Such exercise increases levels of the sex hormone testosterone (primarily in men) as well as growth hormone. Not only do greater levels of these hormones increase your muscle mass, but they also decrease your visceral fat (belly fat) in the long term.
This may explain why the fat-burning effects of eating more protein were confirmed in a study published in the American Journal of Physiology. One group was fed a high-protein diet (just over 1 gram per pound of body weight per day) while the second group consumed an amount closer to the lower recommendation of the RDA (recommended dietary allowance). The group eating the higher-protein diet burned the most fat.