Pranayama means the regulation of breath. Pranayama is the fourth stage in ashtanga yoga.
Breath and mind are closely related. If one can control the breath, one can control the mind and visa versa. Pranayama gives steadiness and lightness to the body and calmness to the mind. Prana or bio-energy flows through pranic pathways. Pranayama helps to clean these pathways . This has a direct effect on the physical body as a well as the mind. Our health improves and one gets clarity of mind.
Here is a list of common Pranayama exercises. Click on the Image to see the detailed article.