Fabric is one of the most important factors when it comes to exercising with a mask. For everyday activities, cloth masks are fine. But with exercise, cotton becomes damp really fast, which can make it harder to breathe and can promote bacterial growth. So for this reason, masks made with a breathable fabric similar to the kind used in activewear (like spandex or polyester) are your best bet. But still, you want the mask to be breathable and comfortable while you move.
There's nothing worse than having a face mask sag or fall off while you're moving. First, it's just annoying. Second, it will disrupt your workout if you have to stop to fix it and you'll likely have to touch your face -- which you should avoid doing to stay safe.
Look for a face mask that's adjustable or comes in different sizes so you can find the best fit for you. Stretchy ear loops or elastic tend to fit snugly and won't slide around as much as the masks that tie around your head.
Since sweat and moisture can be a breeding ground for bacteria, masks that have some type of filter or antimicrobial coating are ideal for physical activity. (Many of the masks on this list do have these features.) While these may not actually kill or destroy a virus particle, it doesn't hurt to have these extra barriers in place.
Also, understand that no mask on this list can offer a 100% guarantee that it will protect you from the virus, no matter how many fancy features they have. But wearing a mask is simply another tool that can act as an extra barrier to help stop the spread and help protect you and others.