Having said that, a particular training session can serve several purposes at once. You can build skill while building endurance. The problem is, sadly, that the more purposes you have for a training session, the less effective it will be at any of them, especially as you become more advanced (beginners can get away with anything; if you could respond as a beginner for your entire training life you'd be a world champion with ease). Very careful planning and programming can help, of course, but there's an upper limit to how many qualities you can improve at once.
So if you want to get strong, and lean, and build muscle, and develop skills (say, in martial arts), you can do all of those simultaneously as you start to train, but the more advanced you become the harder it will be to advance all those qualities unless you rotate your goals (focus on one or two goals in each training session, instead of trying to hit them all every time you step into the gym or the dojo).
Now one potential purpose for a training session is to burn calories. Every workout will burn calories of course, whether it's your goal or not! Movement burns calories. But many people will not have that as a goal - if you're already lean, or just not interesting in losing fat, you might not care about how many calories you're burning in your workouts.
So who should have burning calories as a training goal? Mostly people who need to lose some bodyfat. For everyone else, you have two ways of looking at it: if you're underweight, you might need to minimize calorie burning so you can gain weight (assuming you have a hard time eating enough calories); if you're at the right body composition for you, then you might just ignore this topic altogether. Good for you; and by the way, I hate you. Nothing personal.
I'm sure there are ways to train that minimize calorie burn. I have never, for one second, thought about any of them. Because I am fat and could not imagine caring less. Read someone else's blog if you're worried about burning too many calories.
Here are the guidelines for us regular people who need to burn some extra energy:
1. Normal people can't exercise their way past a bad diet. Now we've all read stories about how much Michael Phelps or some other Olympic athlete can eat and still stay lean. Repeat after me: you are not an Olympic athlete (unless you are, in which case, welcome to Karate Conditioning!) You aren't training 6, 7, or 8 hours a day, every day.
Normal people (meaning, people who are not professional athletes; people who have jobs or kids or whatever) can't exercise enough to make up for a bad diet. It is so much easier to consume energy than it is to burn it. I can easily eat a pint of ice cream or 4 donuts in a sitting, but "burning off" the 1000-2000 calories that food represents takes hours of hard exercise.
If your diet is pretty good (you're consuming an amount of calories close to your maintenance needs, or a bit less), then exercise can help create fat loss IFF you don't then go ahead and 'make up' for the calories you burned by eating more. And research shows over and over again that people who exercise and don't pay attention to diet don't end up losing weight, they just end up eating more.
So IF you are training in the hope of losing weight, you simply can't ignore diet and hope to be successful. You CAN use exercise as a supplement to careful control of your caloric intake to 'add up' to a caloric deficit.
2. Calories burned during the workout is pretty much intensity X time. Roughly speaking, how many calories you burn in a workout roughly depends on two things: how hard you work and for how long. A max squat or bench press (lifting as much weight as you can handle for a single rep) just isn't going to burn very many calories no matter how strong you are - yes, you'll burn more calories benching 500 lbs. for a single rep than you would benching 250 lbs. for a single rep, but you'd burn way, way more calories benching 250 lbs. for 10 reps. Doing a single 100 m sprint won't lean you out. However, things get more complicated when you repeat maximal efforts - benching 500 lbs for a single, repeated 10 times, will burn more calories than 250 lbs. benched 10 times in a single set and might burn more than twice as many.
3. Calories burned during the workout is only half the picture. If you read #2 above, you might think that the key to sustainable fat loss would be to do long medium intensity work. That is, go to the gym, hop on the elliptical or treadmill, and get your heartrate up to about 155 or 160 or however high you can stand it and keep that pegged for as long as you can. And that is, in fact, probably the best way to burn the highest number of calories in any single workout (you can try this for yourself - use some machine that measures calories burned, and do interval training, where you put in maximal efforts for 20 or 30 seconds, then rest, then repeat. Try it again another day where you hit a medium heart rate but sustain it for the full time. You'll see that you end up burning more energy with the sustained workout than with the intervals).
Now I'm not saying that approach absolutely won't work. But it isn't the best way to get results. If you try to lose fat by heading into the gym, hopping on the elliptical, and jacking your heart rate up to 165 for 50 minutes, then repeating 4-5 times per week, you will definitely burn calories. But you probably won't be maximizing your overall fat burning.
Why not? Two reasons. First, that kind of medium intensity, long duration work will push you way into a sympathetic state. It's a lot of stress for your body, and unless you're very resilient that will lower insulin sensitivity, increase inflammation, and generally have a lot of effects that will prevent you from achieving your physiological goals.
Second, while that workload is kind of a grind, it isn't intense enough to force your body to make energetically expensive adaptations. You won't build new muscle, or at least not much, from that (at least not as well as you would from higher intensity, shorter workouts). Which leads us into #4...
4. Maximize post-exercise caloric burn with highly varied, highly intense workouts. The thing about low or medium intensity workouts is that you adapt to them really quickly. And that's fine, except for this: adaption requires energy. If you do the kind of workout that traumatizes your body, makes you sore, damages muscle tissue, etc., then your body will have to expend energy to repair that damage and to supercompensate for it. In other words, not only will very intense workouts build muscle, which leads to a higher basal metabolic rate and contributes to fat burning, but the very act of repairing and building muscle takes energy.
If you're relatively new to exercise, you might get that kind of muscle damage/ repair going with just about anything. But if you're in relatively good shape, you're going to have to work hard to prompt those kind of adaptations. And moderate intensity, long duration exercise isn't going to cut it.
You're going to have to work at the kind of intensity that you simply can't maintain for 45 minutes. We're talking HIIT, hypertrophy workouts, something more intense than a treadmill at 10 degrees elevation and 3.5 mph.
And, to really promote adaptions, you can't just do the same thing every time, over and over again. You have to frequently switch exercises, rep schemes, and loads, to continually force your body to adapt. Think about how sore you get from an exercise you've done every week for 3 months vs. the exercise you've never tried before - which one do you think is stimulating more energy cost in repair and growth?
You're going to have to work at the kind of intensity that you simply can't maintain for 45 minutes. We're talking HIIT, hypertrophy workouts, something more intense than a treadmill at 10 degrees elevation and 3.5 mph.
And, to really promote adaptions, you can't just do the same thing every time, over and over again. You have to frequently switch exercises, rep schemes, and loads, to continually force your body to adapt. Think about how sore you get from an exercise you've done every week for 3 months vs. the exercise you've never tried before - which one do you think is stimulating more energy cost in repair and growth?
5. You can only handle a limited amount of varied, highly intense workouts. Ha! You read #4 and you're thinking, 'great, I can do super hard 20 minute workouts all the time and I'll get super lean and jacked.' That can work, for some people, of course. If you have a metabolic and hormonal profile that lets you recover from those workouts quickly, and repeat them often, then this might be enough for you (this usually applies to young, healthy people, especially males). But for many of us, the recovery is slow (meaning, we can't do those workouts more than 2 or maybe 3 times a week without getting wrecked), and the stress is too much (meaning, those workouts shove us so far into the sympathetic side that we end up with high inflammation, poor sleep, and a host of other ill effects). So your personal mileage may vary in trying to get lean on HIIT alone.
6. If you've 'maxed out' your load of high intensity training, you can probably manage to add some low intensity along with it. Let's assume that you're doing 2 or so really intense workouts every week. You might want to do a third, but you start to feel stressed and burned out from that much really hard work (maybe you're older, have a hard job, are in less than perfect health, have kids, whatever). But two workouts a week, even if they're relatively intense, aren't going to burn a ton of calories. Where can you go from there?
If you added long, medium intensity workouts (160 heart rate on a treadmill), you'd probably just recover even less from your 'hard' workouts, add to your stress, and end up miserable. Yes, those workouts would burn plenty of calories, but they might mess you up in all those other ways.
BUT if you instead do more training in the lower intensity ranges, say below 130 beats per minute for aerobic benefits, or even lower, say leisurely strolls around the neighborhood with your dog, you can create a larger energy deficit without suffering too many of the problems associated with being over stressed.
TAKEHOME MESSAGE: To create a larger energy deficit, do very high intensity training a few times a week - two or three. Vary the exercises, pace, and so forth, so that you are constantly adapting to the varying stresses. Then fill in the rest of the time with low or very low intensity work, the kind that doesn't even leave you out of breath, to burn extra calories.