What is best exercise for osteopenia?

Any weight bearing. Exercise is good for low bone density. This can be walking, jogging, running, plyometrics or resistance training with weights. The best form of weight bearing exercise is the one that you do consistently as to support continued bone growth/density stimulation you have to be consistent about your exercise routines.
Weight bearing. Body cells get stronger when forced to remodel themselves, bones included. Any exercise that applies stress to bones can work."banging" stresses like running & dancing vibrate the bones of the legs and hips, causing teeny fractures that the body promptly repairs, making bone tougher as long as there's plenty of calcium, magnesium and vitamin d for building blocks. Muscle strengthening also helps.
Strong bones. Bones are constantly remodeling based on the stressors placed upon them. Weight bearing exercises promote strengthening of the bones structurally through the remodeling process. This is why, for example, weight bearing exercise helps in osteopenia.