Walking! It's the easiest thing to do and it's the most consistent form of exercise. You can walk at home, in place or around the house if you have a big one, or you can walk outside when it's nice outside.
I always walk first, then attempt other exercises. I have the 30 Day shred (Jillian Michael's DVD) DVD that I have yet to get past the warm-up. I enjoy walks more. Maybe it's just being outside no matter what the weather.
I think the most important thing is to try as many exercises as you can (Pilates, playing a sport - I liked tennis when it was warmer, walking, jogging, yoga, dance, etc) and see which one you enjoy the most. It's easier to stick to an exercise routine if you don't dread it. Good luck!