As a mother of two and fitness instructor, i encourage you do do whatever motivates you, makes you happy, and does not compromist your comfort. I taught classes up until the day before i delivered my son b/c it's what i love to do.
studeis show that regular aerobic exercise mixed with moderate strength training will hlep you manage your weight gain during pregnancy, assisty your delivery, and speed your recovery time after delivery. the first thing you need to do is discuss any exercise routine with your dr.!!!!! advice from me and other women is great, but talk to your dr. first - remember you are not only thinking for yourself but your child. after you get the clear from him/her i would suggest taking group exercise classes - and notify the instructor before class begins. not b/c you are a health concern, but so they can show you any modifications you may need to make to protect your baby. as you progess your modifications will change.
drink lots of water - even when you are not thirsty, it helps to keep the baby cool even when your body temp. is elivated. also, if you don't already have one, get a heart rate monitor.
Have fun, enjoy your pregnancy and stay healthy.
if you have any more questions or concers i would love help.