Sounds like he is thriving for the wrong kind of attention! If he goes to daycare maby he feel like he's not getting enough of one one one attention with you guys & wants more attention but is trying to get it in the wrong way? Maby try giving him more positive attention, like playing board games or simple card games, or going on family walks & talk.
As for the discipline methods we have 6 different kids with 6 HUGE personality's, each one responds to differing discipline. My 5 year old doesn't respond well to time outs he does well with the marble jar & sticker charts & privileges taken away. All the kids do well with the marble jar. For instance if my 5 year old were doing what your son was doing (that breathing/finger thing in the bed) & I asked him t ostop but he says it wasn't me or kept doing it laughing, I would say OK you just lost a marble, go pull a marble out of the marble jar. If he refuses, I do it. If I would ask him to stop the annoying behavior & he says OK mommy or just stops it w/o me yelling or asking again then I would say thank you for stopping the first time I asked you! I think we should go put a marble in your jar for listening! When marble jar is filled up (8 marbles full, 5 marbles for my 3 yo) He gets to take a toy out of the grab bag (Grocery bag full of 99 cent store toys used just for the marble jar) Or he gets a piece of candy, his choice most of the time unless it's like 8 am.
You can try not just taking away toys or time out, but simply taking away privileges. This works great with my 5 yo. Like no bed time story tonight, or no TV/movie/game time for the rest of the day, you can go read a book or color instead. Or No dessert tonight. Then eat ice cream or whatever in front of him & when/if he asks for some remind him why he doesn't get any. I love that one, it works especially well with my 2 year old ice cream nut!
Maby when you're lying with your son in bed & he's deliberately annoying you, get up right away & say OK I'm done I'm not laying with you when you act like that, then walk out of his room & don't go back. He gets another chance tomorrow night. Next time if he jumps off the couch arm & onto you (Or stands up on the couch period) Immediatly take him to time out, no ifs ands or buts. Get up grab his hand in a stern but not hurtful way & lead him to time out. If he cries or throws himself to the ground pick him up & place him in time out. Don't say a word to him till you get to time out & quickly explain (not a long lecture) why he's in time out & say now you can sit here for 5 Min. (Or however long) Don't know where your guys time out is, but we never use the bedrooms or toy rooms, we use the naughty step or dining room in our house. You can't see the TV, no toys around, it's boring, removed form where the other kids are, it's everything time out should be! LoL
Sometimes a good talk helps, sit him down when he's not in trouble, just randomly hey mommy & Daddy want to talk to you about something K? Talk to him about his behavior & how that makes mommy & daddy feel, how it is Not OK to jump off the couch or onto mommy, & ask him for an example of some other things that are bad or not OK to do, then ask him what are some good nice things we can do instead. Seems to work with my extremely stubborn 3 year old. LoL
Lets see, another one that works is re-directing the behavior, like instead of doing this lets do this. When my kids start buggin each other or throwing hissy fits, or doing front flips off of the counter onto the couch (EEK) that's when I bust out the things that are OK to be doing right now instead of what you are doing. Extra special things that I keep hidden just for those moments. Like a mini trampoline, play doh, the twister game, UNO card game (gets my 3 year old to practice her colors & she doesn't even know it hehe) Or I turn off the TV & turn on the music & tell everyone to jump & spin & dance & act silly to get the energy out. Just things that make them work with their mind or body's..
Oh man we have so many different techniques in our house, I could go on & on but I'll end it here so you don't get bored. LoL I hope something starts working soon! Don't get too stressed over it tho, he'll get over it eventually if you don't give in. Stress is not a good way to get pregnant or good for the baby if you are pregnant! Congrats & best wishes with that too! :)