In the olden days, OBGYNs recommended rest (and even bed rest) during pregnancy. We now know that staying active throughout pregnancy is one of the best things you can do for yourself and your baby. The American College of Obstetricians and Gynecologists (ACOG) recommends 20 to 30 minutes of moderate level activity most or all days of the week. Of course, there is always a caveat to check with your doctor to make sure a certain exercise routine is right for you. Some of the activities that ACOG reports as safe are running, jogging, walking, swimming, stationary cycling, low impact aerobics, yoga or pilates, racquet sports, and strength training. Things to look out for are any contact sports, sports that might cause you to fall, scuba diving, sky diving (obvi!), hot yoga, and hot pilates. Just remember- when you are pregnant, your center of gravity changes, so you have to be more careful to keep your balance.
If you were active before pregnancy, then great! Keep up the good work. Be careful not to over-do it, though. ACOG recommends the TALK TEST to enable you to hit that moderate intensity goal. If you can carry on a conversation while performing the exercise routine, then it's probably not too intense. If you were not active before pregnancy, now is a great time to start! Just start slow and don't increase activity or intensity too fast. Safety is always the most important.
Here is a cute info graphic with a possible exercise schedule organized by trimester. Of course, check with YOUR doctor first to make sure it's a good fit for you and your pregnancy.