Ideally diet is more effective if you exercise as well. It's simple physics do more and eat less and you will lose weight. However the saying that abs are made i n the kitchen not in the gym is true. Diet is more effective at losing weight than exercise.
Think about it this way. A typical chocolate bar has around 200 calories. To burn that off you would need to run 2-3 miles. It's easier to not eat a chocolate bar than run 2 miles.
The best form of exercise is weightlifting. That way you're metabolism is raised for 24 hours after your lifting session