I was pretty fit & working out regularly prior to falling pregnant.
The first 2 times I went to the gym once I was pregnant were followed by small (but apparently unrelated to the exercise) amounts of bleeding.

It was enough to freak me out though, so apart from walking, I didn't do much other exercise until after my 18 week ultrasound. I wish I had though, that way maybe I wouldn't have out on 18 kilos by 33 weeks!

I've found swimming & watermums/aquamums classes to be great, have been doing these for about 15 weeks now.