I just want to get the files from the current dir and only output .mp4 .mp3 .exe files nothing else. So I thought I could just do this:
ls | grep \\.mp4$ | g
No need for grep. Shell wildcards will do the trick.
ls *.mp4 *.mp3 *.exe
If you have run
shopt -s nullglob
then unmatched globs will be removed altogether and not be left on the command line unexpanded.
If you want case-insensitive globbing (so *.mp3 will match foo.MP3):
shopt -s nocaseglob