What kind of exercise is best for improving my mood?

There's no evidence that any one kind of exercise is best. Most studies have looked at running or other aerobic activities. But studies that have also compared the effects of low-intensity activities, such as walking, and nonaerobic workouts, such as weight training, have found that these types of exercise are equally effective in reducing anxiety and depression.

You don't even have to achieve an improvement in strength or cardiovascular fitness to reap the emotional benefits.