I exercise but I also wanted to know what diet supplement works best to help me lose weight.

No ideal supplement. Exercise is indeed the best way to lose weight. I recommend LIFTING WEIGHTS because that increases muscle- which will continually burn fat, even while you're NOT working out. It may seem counterintuitive- but I've seen better results that way. I don't recommend any 'magic pills'/supplements although there's lots of crap out there. If anything green tea might help since it will speed up metabolism.