You can continue the type of exercise that you were doing pre pregnancy if your body is used to it. Your body will tell you if it is too much for you. I have seen pregnant mamas jogging and that is great for them (but not me!). Swimming is great during pregnancy but I have not had access to anything other than the baby pool while watching my other kids. When I am not pregnant, I usually find yoga to either be too hard or a bore. During all three of my pregnancies I found prenatal yoga to be healing. My first two pregnancies in NYC, Melissa Feldman made me laugh and love going to class. I connected with fellow pregnant mamas who I shared a very special time with and learned a wealth of knowledge. After giving birth we had weekly playgroups (sometimes for happy hour) and later a babysitting coop with each other for support. This was priceless BUT the most priceless part is that no one in Melissa's class EVER had back pain or other pregnancy ailments. Women were at class up until the end even if they were overdue. There was a magical feeling as I would walk out of class that made me feel like my body was in perfect alinement and that I was in perfect harmony with my body image and with my beautiful baby.
On a daily basis, I recommend making exercise part of your lifestyle. Walking has been the perfect fit for me because it takes no extra equipment and can be done anytime. For me living urban has kept me walking wether it be for groceries, up and down endless subway stairs, walking the kids to preschool or the park. For those of you who have a harder time adding walking into life, there are a lot of things that you can do like park (or get off the train) farther away and walk a longer distance. You can go for a 20 minute speed walk on your lunch break, visit a local park or enjoy a prenatal salsa dancing DVD at home. Those prenatal yoga DVDs bored me because they were too easy.
Whatever you do, try to have movement everyday.