I find a CGM to be of limited use during exercise as my levels change too fast for the 15 minute delay. By the time the CGM notices my levels have started to fall, I may already be hypo.
However, it is great to review what happens and change my approach next time.
Regarding which CGM to use depends upon your budget, your body (some people get better accuracy from one CGM and others get better accuracy from a different one) and your techiness (you can adopt the native readers or use unofficial apps to get more out of the CGM).
Libre is the most common due to its low cost. Assuming you have diabetes, you can get a free trial for 2 weeks from their website.