Increasing intensity of exercise (and therefore HR) increases the rate of carbohydrate burning. This results in more rapid muscle glycogen depletion and earlier fatigue. Once you cross your anaerobic threshold muscle fatigue occurs very rapidly and shortens workouts. To optimize fat burning you want to stay below your anaerobic threshold (usually between 85-95% of max HR) and do endurance workouts. These can be prolonged by carbohydrate replacements (drinks, gels, bars) up to about 200-300 calories per hour. Beware that these workouts will have a very powerful effect on increasing your appetite. If you don't control calorie intake outside of the workouts you can actually find yourself gaining weight.
The longer the endurance activity, the lower your average HR during the workout should be to delay glycogen depletion.
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