You should get yourself a decent heart-rate monitor and calibrate it yourself (as good as possible). What you do is you take a cycling home trainer and you follow the following protocol:
- Maintain 80 rpm all the time
- Start cycling for 3-5 minutes at 100 Watt
- Add 30 Watt every 3 minutes
- Monitor your heart rate
Assuming everything is more or less accurate, your heart rate should be increasing more or less linearly until you start get above your anaerobic threshold after which it may start to increase steeper.
The point is: it gives you a nice estimation of how much Watts you burn at what heart rate. And since Watts can be roughly translated to kilo-calories (1 kcal = 1.163 Watt), you get an idea of how much calories you've burned. Convert your heart rate over time to Watts and convert those to calories. Though I'm sure most of them will have one built-in. You can use your own 'calibration' to adjust the values.
If your a heart patient or you have any other diseases, your mileage may vary