I'm currently a tester for a fat burner that does actually burn fat. It's called Melting Point
Check it out:
http://www.bodybuilding.com/store/design/melt.html
But to answer your question...there are many different type of fat burners that act on various physiological mechanisms in the body. Some speed up your heart rate and are more stimulant based. The end result is supposed to be more calories burned and more fat burned. Others act more aggressively on the central nervous system. I don't think that any fat burning will happen unless there is a solid diet and exercise program in place tho.
Anyhow, here's an article on the various types of fat burners:
http://www.bodybuilding.com/fun/behar13.htm
FYI...I just read that fat burners actually produce toxins in the body as byproducts so it's probably not a good idea to stay on them all the time. Our bodies do become more tolerant towards them and evenetually they become ineffective IMO.