I'm 34 weeks prego and feel your pain! I have found that eating very few carbs and eating more protein can make a difference in my endurance ability. Also, eating a LOT of fruit is helpful. I am still very tired, but I have more energy since I started doing this.
In the morning I eat a grapefruit with salt on it, and 15-20 minutes later I sometimes follow it up with a couple pieces of bacon for protein (I can't have eggs, but if I could, I would eat a few eggs). Then an hour or so later I eat celery with peanut butter (2-4 of those). Then for lunch I eat a ham/cheese grilled sandwich for some protein. Then for another snack, I eat and apple or a bananas (w/peanut butter for protein). Then dinner, I make a protein type of meal of some sorts with chicken or beef. Then for my snack before bed, I eat an avocado dip (avocado, tomato, onion, cilantro, lemon juice, salt, garlic), and I feel satisfied.
It's been about a week that I've been eating like this. Prior to, I was eating a ton of protein and very little carb, but I really need the fruit to offer some energy. I had started swelling, and that has backed off some too since I've added the fruits.
Anyway, hope that helps. I hate the fatigue! I'm the same way. No matter how much I sleep, I have no energy. Sometimes it feels like low blood pressure killing me! I have four little ones to chase, and I'm dreaming of the day I am not fatigued like this so I can feel more successful:-)
And, sometimes the baby has growth spurts and drains all the energy out. But, again, the fruit has really helped. It gives energy. Protein gives endurance and strength. Carbs (bad carbs - pretty anything that is not fruit or veggie) seems to sap strength from me. I can eat tortilla chips with my avocado dip, and I can eat bread with my grilled ham/cheese sandwich, but I don't eat a lot of carbs beyond that. I only drink water. But if I eat much carb, out goes the energy!
Added: And like Rachel C said, anemia could be a partial cause too. I have am slightly anemic too. Usually they'll test you around 28 weeks for it. You can eat spinach salads, and it'll help with the iron. If you are anemic via the doctor, Floradix is good for iron. It's all natural, vegetarian, and quite absorbable (and it won't make you constipated like some others!).