First of all NO alcohol!! Be careful with over the counter meds. Some of them are not safe to use. Especially on the first trimester.
You can continue exercising as long as it is comfortable. Just be careful not to overdue it especially when your pelvic muscles start to loosen up. I just read about an Olympic runner who ran an 800 meter race at 8 months pregnant. Don't go out and start a new exercise routine or start a boot camp workout, but you can continue doing what you currently do. Your doctor can give you good advice. Look to see if your local Y or anywhere offers prenatal exercise classes. I took one that included walking, yoga, and water aerobics.
If you are planning to breast feed or even if you aren't sure if you want to, try to find a breast feeding class. Our hospital provided one and I learned so much from it!!
Eat healthy. There is no such thing as eating for two. The extra calories you need equal about a glass of milk. Take prenatal vitamins and be sure they include folic acid.
Take others' advice with a grain of salt. What worked for one person won't necessarily work for you. That is for everything from prenatal advice to baby advice. Cry it out did not work for us. Making my own baby food did not work for us. Being a stay at home mom did not work for me. Don't let anyone else make you feel like she is a better mom than you because her baby slept through the night at 6 weeks and only eats organic homemade food. Do what works for you and your family.
Don't feel obligated to listen to anyone else's pregnancy and delivery stories. I don't know what it is about comparing them, but it almost seems like a competition sometimes to see who has the worst story.
When you feel tired, sleep. It will be years before you can get a good nights sleep again. ;)
You won't need half of the baby gear that you think you will need or that the books say you need. I can't tell you how many things I had that I used onCe or twice. Some never even came out of the package.
A nursing pillow (or two) is great to have with a couple of extra covers for it. Even if you aren't planning to nurse they are great to have for helping to support baby when giving a bottle. I think burp clothes are essential. They can be used for so many things. The one product I had that I used long after we left the baby stage was a Playtex freezer bag. The whole bag goes in the freezer and will keep 2-3 bottles cold for up to six hours. We even used it for sippy cups of milk after we were done with bottles. If you are going to breast feed or at least put breast milk in bottles invest in a good pump. Breast pads will be very important even if you aren't breast feeding. When your milk comes in it can cause big soakings.
It is perfectly normal to have some "baby blues" after baby is born. But don't try to just brush it off. Let your doctor know. So many women don't get help for post partum depression and it can manifest in many different ways. Some tragically. If you just don't feel right, tell your doctor. I wasn't diagnosed until 6 months after my first was born. Diagnosis does not necessarily mean medication. Especially if you get diagnosed early.
What to Expect When You Are Expecting is a good book. An even better book is The Girlfriends' Guide to Pregnancy. It is very funny and covers some of those things that no one wants to talk about. It is kind of in your face, but I loved it.
I really believe that the more positive you are about your pregnancy the better your pregnancy will be. Enjoy all the amazing things that come with being pregnant.