I think you should try swimming. I have many friends troubled with asthma excelling in competitive swimming. Of course, you should contact your doctor before trying any type of exercise. You can do simple "stay-put" exercises, too. These include a wide variety of stretches, crunches, etc. I think yoga and pilates and even dance are all good suggestions! Exercise should not be limited to hard-core jogging, but you should always check with your doctor before trying any strenuous activity.