Yes!! My first gym membership ended in disaster - I moved and payed for three months I did not use. But I am currently on my seconde yearly contract and are LOVING it. The thing is you HAVE to stick it out. When I first started, after about two weeks of going, I was sick of it. I was sore and stiff and the only class I could attend was early (5am), BUT after that I started seeing results. Thinner waist, tighter abs and EVEN some biceps!!
Currently I gym with a girl that is expecting her second child the 3rd of March. We have loads of laughs with her when doing squats. But she comes everyday and when she is not up to classes, she walks on the treadmill and do some leg and arm weights. I personally went to the gym till I was 7 months pg.
Yes, you are going to be tired and after bubba is born you are going to be a little busy, but ask if they can extend your contract. It sounds like it's a smaller gym, so if you explain that you are pg, maybe they will let you have three months "maternity" leave That way you won't pay for months you are unable to go.