Many calories come from sugar, but that is not necessarily the most concentrated source. Things like proteins and dairy also have a lot of calories.
Fats (lipids) offer the most concentrated energy source (i.e the most kilojoules of energy per gram, compared with other nutrients).
Energy in all foods comes from calories, which are in starches, fats and proteins. Peanuts contain a high percentage of fat, which is the source of most of their calories, or energy.
Most calories a burned off by sweating
If you are referring to water vapor in the atmosphere, most comes from the largest water source on the planet, the oceans.