What the other guys said. There is a zone where more fat is burned proportionally than other fuel sources, but so what? Overall, more total fat is burned with higher intensity exercise. If I burn 100 kcals of fat in my fat burning zone out of 150 total kcals burned (numbers made up) vs. burning 450 total kcals burned and 150 kcals of fat burned at a higher intensity, which is better for fat loss? The second is much less efficient at burning fat, but overall it's more successful.
Here's some actual numbers:
http://exercise.about.com/cs/cardiowork ... 22601a.htm
What it boils down to is what I said - you burn a higher percentage of fat at lower intensities, but burn more fat overall at higher intensities. Also, at higher intensities you also promote more post-exercise consumption of calories, better cardiovascular health, etc. The myth of the "fat burning zone" is that there is one, but that it matters.