What is the best way/ format of exporting a mechanical assembly from Pro Engineer/CREO to ANSYS for fluid analysis?

You can use IGES/STEP, Parasolid format for export from PTC Creo to ANSYS.

If you have installed ansys workbench along with PTC Creo plugins you can directly open the geometry in Ansys Design Modeler.

You can use ICEM CFD module of Ansys for import export files over cad softwares.

For simple geometries i will recommend you to model in the ANSYS (APDL, Design modeler, icem cfd etc.).

You can do this for pipe designing, flow over airfoils, tanks, simple heat exchangers etc.

But for complicated and detailed geometries i will not recommend you to import. I have bad experience in meshing results are not good. Instead you should use advanced softwares which has strong modelling and simulation capabilities.

For example for structural/mechanism analysis PTC Creo is best option. 

For complicated flow poblem with moving meshes and fluid solid interaction FSI you can try Solidworks fluid module, Autodesk Cfdesign, Deassualt Systems CATIA SIMULIA etc. You can easily model complicated geometries and then analyze within the same software. Although these softwares may have some results inaccuracies compared to ANSYS but atleast there is start.

Also there are some specialized softwares for different applications. Like for turbomachinery ANSYS has blade modeler, turbogrid for meshing, Numeca turbo fine, etc. These software eliminate error related to import/export.

It is always better to use IGES format to import3D models to ANSYS.

My personal first choice is always Parasolid format  (***.x_t  or  ***.x_b)

I faced less problems meshing a Parasolid file rather than IGES

Model the3D geometry and mesh using ICEM CFD by importing as Parasolid format  and import in to required solver of your wish

Better to save the model in CREO as a Parasolid _xt file and then import it in ANSYS Workbench's Design Modeler. 

exported by saving assembly as step/iges files.

import frome Gambit and export to fluent

IGES format works fine. 

I use Pro E and Creo for designing.

It is better to save the model in CREO as a Parasolid _xb file

Can Export Assembly File in IGES/ISG/STEP format from CREO and Import File in Ansys

Import From Gambit then export to ANSYS