If I had to just choose one exercise, I'd have to choose the squat. When you squat, you use most of the muscles in your body and becuase you use your legs, which accounts for a large portion of your body muscle mass, you're going to get a lot more calorie burning on a 24/7 basis by growing your leg muscles. Even if you don't grow them to noticable levels, any growth will aid in weight loss.
Additionally, if you lift moderately heavy weights, you will get a release of growth hormone and some increased hormones that are excellent for burning body fat.
If you're really interested in losing weight as fast as possible while keeping it off, I explain why and how my weight loss program works in my new weight loss and diet program.