Hi Natalie - firstly big CONGRATULATIONS on your pregnancy!
My OB explained to me the issue with exercise is 1. not to allow body to overheat 2. heart rate not to go too high (babies heart rate is a lot higher than yours and 3. do not start to suddenly become active if you werent before.
on this advice I stopped doing RPM/spinning pretty early on and replaced it with a good power walk and swimming - I can still do both of these now in the later stages of preg. I do know some ppl who have continued with spinning but I personally chose to replace with something i was 'sure' was safe and that my OB fully supported.
I know a lot of people keep doing pump in the 1st and 2nd trimesters - I didnt and this was bc i decided to do some classes that would focus on the areas i needed for preg - so i have been doing loads of pilates and other weights training where i am more supported by machines, mat or a ball. I have found this beneficial and again I can continue through the last few weeks with the same exercises. But I do know pump is ok (just as long as you know your teacher knows what s/he is doing and remember as time goes on your centre of gravity changes and also your liagments etc loosen so you are more prone to sprains and tears etc - this is the main reason I switched)

I have still been able to be pretty active all thru preg and so you can def keep exercisisng. i personally altered what i did pretty early on but I think it is an individual choice taking into acct the 3 things above.

Hope this helps somewhat (sorry i think i may have rambled).

PS yoga is also excellent for relaxation and stretching (which I def need now!)