High Intensity Interval Training is basically including short bursts of very intense spells of exercise in the middle of lower intensity endurance exercise (or slow steady state exercise).
If your goal is to lose weight (i.e. burn fat), exercise research shows that you burn way more fat when you are exercising at high intensity levels than compared to low intensity levels.
Another secret about HIIT!
Doing some High-intenisty interval training opens the door for you to take advantage of something called the EPOC effect. EPOC stands for excess post-exercise oxygen consumption, and can be thought of as a powerful afterburn effect. Basically, after a high-intensity workout, your metabolism is revved up and you continue to burn calories after you have finished exercising for up to 24 hours! In comparison, long aerobic jogs result in virtually no calorie burn post-work out.