Even light exercise is good for you, so don't get discouraged!
When starting out exercising it is crucial that you enjoy what you are doing, so pick an activity that you like -walking, cycling, or sport for example, to get started, and worry about what the best exercise is later.
Most people have a tendency to jump in the deep end when it comes to exercise routines - to pick the most difficult one they can find and often one that doesn't include activities they enjoy. This is a big mistake, because people start out excited they will keep it up for the first few days, but after a few weeks with the momentum and excitement gone its very difficult to keep going.