Pilates will be great for you - especially since you're interested in it.
I would also suggest Leslie Sansone walking videos - she uses four basic steps that are variations of marching in place, and she's just wonderful. Very encouraging and supportive. She also works in upper body with a lot of her workouts. If you think that may not be gentle enough yet, they are EASILY adapted to be done sitting in a chair - you can still move your legs and arms the same way they do (with one or two possible modifications)
There are also a few actual chair aerobics videos available (you can find them at Collage video on-line - wonderful company)
And finally, I'd suggest a basic beginner weight lifting routine you can follow, like Kathy Smith's Lift Weights to Lose Weight, or Tamilee Webb. You can start out with weights as light as you like and work your way up from there. I adore weight lifting