Much debate exists as to which calorie type should predominate in the diet. Some advocate a high protein approach, while others follow carbohydrate rich fare. Though your body requires all three macronutrient types - protein, fat, and carbohydrate - their respective effects on the body differ markedly.
Of the three macronutrients, carbohydrates are deemed the most nutritious, since the foods in which carbohydrates predominate - fruits, vegetables, beans - are highest in vitamin and mineral content, while foods comprised mainly of fats and/or proteins (animal products, nuts, oils) are less nutritionally dense.
Nutrition aside, the million dollar question is, What effect do the various calorie types have on body weight?
A study published in the Journal of Nutrition helps us answer this question. Researchers conducted a population-based, cross-sectional study of approximately 4500 middle-aged and elderly men and women to investigate the effects different macronutrient intakes have on percent body fat. They found that in the general population, higher protein intake was associated with more body fat. In a subset of the population - those who were moderate body mass and stable weight - it was a higher fat intake which was associated with higher body fat.
In other words, both high protein diets and higher fat diets are associated with higher percent body fat. In the case of high carbohydrate intake, the reverse is true. The more carbs you eat, the less fat you wear around your waist/hips/thighs/buttocks.
Emphasize carbs over protein and fat, and to get the most nutrition per calorie, focus on the high quality carbs found in fruits, vegetables and beans over those found in grains.