There is some decent caloric burn with Insanity. I broke down and got a heart monitor in part to get a better understanding of how many calories I was burning. If you don't want to buy a monitor, I found that this site does an okay job approximating the calories burned (
EverydayHealth). I am just finishing up week 3 and have lost just about 1 pound. That really stinks, but I've also lost an inch around the waist and body fat went from almost 29 to nearly 25. While I'd prefer to lose weight, for me (and everything I've read), muscle gain outweighs fat loss the first month or so. Keep pushing through and (hopefully) you will see a drop right at the end.