I am a group fitness instructor at a gym, and I also take a lot of different group fitness classes. I love Zumba, and I think it is a great class at any fitness level....or 'coordination level'! However, I really think that how much you burn, and how much you will enjoy the class is solely dependent on the instructor. Because the classes are not pre-choreographed, there's a lot of room for the instructor to make the class her own. Which is great...if she's good. So, my advice would be, don't waste your time or money on the DVD or game....you most likely will not stick with it. Find an instructor that you love. You may have to go to lots of different classes to find 'the one', or hopefully more than one. One of my friends is a former Spurs dancer, and she teaches Zumba. I don't like her class at all. I barely sweat, and the energy is low. Another friend of mine teaches yoga and Zumba, I LOVE her class! Her 'skill' isn't as high as the other one, but I sweat my booty off and she's super entertaining.
I will also say this....at my gym the class averages in Zumba are about 25-40 people. Those people are almost all exclusively Zumba-ites. They've been doing the classes for months, sometimes years. Maybe they all lost a ton of weight at one time, but I haven't noticed any real change in any of them. If your goal is to lose weight, it's important to a) have a good diet (duh), and b) 'shock' your body on a regular basis. Our bodies adapt to new excercise very quickly, so it's important to change it up. If you do end up joining a gym, check out the WHOLE group fitness schedule, and challenge yourself. Make it a goal to try every class at least once. Don't ever think, "Oh I could never..." Any class at any gym should be able to be modified for beginners. If the instructor is worth their salt, they will show you those modifications.
Also, if you're just starting out, group cycling is a great way to burn some calories without feeling like you're making a fool of yourself! You can 'fake it til you make it', because no one can tell what resistance your bike is at, and there are no moves to try to copy. You can truly take it at your own pace. Hope this helps!
PS~Another great cardio dance class that IS pre-choreographed is BodyJam. If you have that at the gym you pick, definitely try it. There's a lot more consistency among the instructors.