Exercising during pregnancy is allowed, recommended and can be very beneficial for everyone involved. Every time I am at the gym I have people comment to me on either A. How they are impressed that I am there and B. That they could just not do exercise when they were pregnant for one reason or another.
Every once in awhile I get someone ask me if it is okay for me to be there which surprises me these days. It seems like it is pretty understood and if you look around you will find many pregnant women exercising. I know women that have finished teaching aerobic classes about an hour before they deliver!
Of course you don't want to go train for a marathon or try to start a bunch of new activities, but either continuing your exercise routine you had before you became pregnant (with moderations of course) or starting a walking and/or swimming program is completely acceptable and encouraged. Definitely talk to your doctor before you start as well just to make sure all is good. There are cases where women are told NOT to exercise due to something going on with the pregnancy.
Exercising will help you control your pregnancy weight gain, keep your body strong which will help ease the stress of carrying the baby, help during labor and delivery and shorten your postpartum recovery time. Exercising during pregnancy will also help keep you mentally sound! I know things can get stressful and emotional in life period let alone when you are pregnant. Getting out there and doing some exercise can help keep the head clear!
I know this is no new revelation, but it still seems like people are weary. Just take things a little slower than you normally would and listen to your body. Don't push yourself too hard and rest when you feel the need. But get yourself on a program and push yourself a little - and I can almost guarantee you will feel better your entire pregnancy.