Step aerobics are exactly what it sounds like. It is an aerobic routine that utilizes a step of varying heighths to increase the intensity. It can be used to increase aerobic and/or anaerobic capacity, depending on the format of the instructor. Most often it is used in an aerobic format.
Another way to increase your anaerobic capacity while increasing your "wind" is to run wind sprints. Mark off a 20-40 yard space, then start by performing 5-10 pushups, pop up and sprint to the other end. At the other end perform 5-10 crunches, pop up and sprint to the other end. After performing 5 sets down and back, take a break for 10 minutes, then repeat.
I know of several college and pro football teams that use this method as well as a large number of fighters.