All dietary fat (saturated, unsaturated, trans) has 9 calories per gram (meaning it is the most dense of the macronutrients). In contrast, carbohydrates and protein have 4 cal/g and alcohol has 7 cal/g.
If you're trying to cut calories and burn body fat, eating more dietary fat won't help you get there. Also, fat "burns in a carbohydrate flame." This means that your body's preferred source of fuel is carbohydrates during intense exercise (interval cardio or circuit weight training). Research and my personal experience as an exerciser and personal trainer proves that a combination of full-body circuit weight training (including bodyweight training) and high intensity interval cardio training is best for optimal fat-burning, muscle strength/endurance, cardio-respiratory health and bone density benefits. The body can't use fat for fuel during high intensity exercise because there is not enough oxygen available.
Having said this, you need dietary fat in your diet (mainly the healthy fats). Fat is important for your diet because it helps you feel full and keeps skin, hair and nails healthy. You should limit your intake of saturated fats (usually solid at room temperature, such as butter, lard, poultry fat, cream, milk, cheeses, etc.) and trans fats (partially hydrogenated fats found in packaged foods and fast foods). Saturated fats and trans fats raise bad (LDL) cholesterol levels. Instead, increase your intake of unsaturated fats (they are usually liquid at room temperature, such as olive and canola oil). They also include unsaturated fat from such foods as fish, nuts, seeds and avocados.
Limit your intake of dietary fat to about 20% of daily calories. And, since fat is so calorie dense, it can help you eat less overall calories during the day.