I exercised as morning sickness allowed throughout my pregnancies. With my first, that was only walking. But after that I'd joined a gym, so with pregnancies 2 and 3, I just kept doing what I'd do at the gym. Low impact aerobics classes, body pump classes, using weights machines. I kept going until about 37 weeks, when I felt I needed to rest more.

I stopped doing step classes as I'm a bit unco at the best of times and I didn't want to fall off the step.

FYI, I am not very fit at all, I am actually obese and I gained pregnancy weight (and didn't lose it! LOL). But it felt good and I enjoyed it.