Well there are two types of exercises. One where you breathe frequently the other when you exercise with the intention of getting out of breath.

Neither are better as they both have downsides. Anaerobic ('hardly breathing' exercises) can cause you to pass our or if you do it for an unhealthy amount of time you can damage your heart. Aerobic is more of a relaxed form of exercises, they're usually slower than anaerobic exercises but a lot more safe.
For example sprinting for long distances is anaerobic (I don't mean jogging, like literally sprinting for a long time) and lifting weights can be considered aerobic.

This also goes on to the 'exercises' you do grohen.