Some common anaerobic activities include sprints or fartlek training and high intensity strength training such as powerlifting.
Athletes often incorporate anaerobic training into their routines to increase performance, but regular exercisers can also benefit from this type of training. When you train at high levels of intensity, you increase your anaerobic threshold, which means you can work harder for longer periods of time, all while burning more calories. You should be an experienced exerciser before trying anaerobic training.
If you're a beginner, you definitely want to work up to anaerobic intervals and stay in your Target Heart Rate Zone. But, if you're more advanced, feel free to add short bursts of high intensity exercise to one or two workouts a week to boost endurance and burn calories.