What is best thing to invest in on the Stock Exchange?

your first option should be to fund fully a retirement account. If you do this, and you have extra cash, then one of the best things you can do is open a DRIP Plan.

Go to : low-cost-stock-recommendations

.com

They have a DRIP Section and it is free.

These powerful investment plans are seldom talked about because brokers make very little money when they suggest them. Yet, they have proven to be one of the best, if not the best, long-term strategy on Wall Street. 

They are perfect for small investors, as well as big investors. They are safe and allow you to not care about whether the market is going up or down. They are a must for any serious investor.

I strongly recommend looking into it. They are great plans.




2nd thning
It depends on your attitude to risk. The markets are very volatile at the moment. Some people predict a bear market, some a return to a bull market in Spring. 
You can invest in small companies which are not making much money at the moment (or even making a loss) with the expectation that they might grow. In companies who's share price seems undervalued against their accounts. Or in large companies who's sector is expected to flourish (probably not oil right now.) 
Personally I'd invest in emerging markets, Brazil, China, Turkey, Eastern Europe etc. for the long term. Barclays do some Exchange Traded Funds (ETFs) calles iShares which allow you to spread the risk over a number of companies in a particular market. There are similar instruments which allow you to speculate on commodity prices.