I don’t think there’s a best exercise. That being said, there are some areas you should focus on when pregnant.
First, you always should be cleared to exercise by your physician. Tell them your current activity level and what you’d like to do while pregnant and if they have any guidelines or parameters for you to follow.
Second, you should get cardiovascular exercise daily if possible. Walking is great as its something you can almost always do through out the whole pregnancy and easy to start up again once the baby is born. Swimming is another great option for pregnant women as you belly grows. The water helps to reduce the weight of your belly supporting you and easing back/hip pain. And for those pregnant women in hot climates, swimming can allow them to continue working out with out heat/humidity concerns.
Third, continue strength training. A whole body routine is best. Most women stop training their core muscles, but this is a mistake. You need a strong, stable core to help support your growing belly. You’ll want strength and stability core exercises for your core. An Internet search for prenatal core strength or stability exercises can provide you with a long list that you can easily adapt to your current fitness level with the help of your physician. After the first trimester you’ll want to stay away from any exercises where you lie flat on your back, but there are still numerous exercises to choose from!
Forth, watch flexibility exercises. As your pregnancy continues, your joints will become more lax, a hormonal response, to allow for easier birthing. Unfortunately it can cause you to over stretch a joint ad lead to injury. Only stretch to the point of tightness.
Fifth, listen to your body. If it hurts stop. If you’re overly tired or can’t catch your breath, too hot, stop. If you need water, drink it. If something doesn’t “feel” right, no matter the reason, stop. If you ave any concerns, stop and consult your physician.
Congratulations! And good luck training through a pregnancy!