As far as excersise goes it all depends on what you were doing before. It's not the time to start up something high impact (aorobics) if you weren't previously but it is ok to continue if you were, you will have to modify things though, walk instead of running and jumping. WIth weights it's best to keep to light weight high repitition. Walking and swimming are great as are yoga, pilates or if you can find a gym that does it Body Balance is great for pregnant ladies!
You also have to remember when doing things like yoga and pilates that your ligaments are alot more stretchy during pregnancy so be careful you don't over-stretch. Also as you get bigger your centre of gravity changes so be careful when balancing, holding poses etc.
The best thing to do if you are a member of a gym is to speak to a trainer. If you're not I would suggest buying some pregnancy excersise DVDs they are great!
Bookmarks