I gave up weight training when I found out I was pregnant, as putting too much stress on the abdominals can cause issues in the first trimester. You can pretty much do anything you feel comfortable with, I know some people are really into running and that's fine.
I'd avoid any sport where there is a possibility of impact, like ball sports, if you want to increase your abdominal tone and pelvic support you really can't beat pilates and swimming.

Kerrie