What are the most beneficial ways to play with my baby?

Spend time with them. Variety is the best play, because your baby has to learn everything about the world. Read to your baby, sing, look at colors, play with anything and everything. Talk to your baby all the time - it's how they learn language, inflection, dialect and learn about the world. The specifics are not as important as the time you invest with them. You can spend an hour showing a baby their foot and toes!
Interaction. Reading to a chil is a wonderful way to interact with a chid. It encourages closeness, attention and language development.