Couch to 5k
You definitely don't want to just start running without a plan. When I got started, after being sedentary and overweight throughout my 20s, I got shin splints and became convinced I just was unfit for running. I tried this program after about 5 years of false starts, and it got me into running without injury, and I've been fine ever since.
I've also used this program to get several people, including my wife, into running without injury.
Running is good. I think it burns more calories per minute than anything else, and builds all kinds of little muscles that are important for control that biking will never touch (ankles, groin, etc.).