The general recommendation is to keep your heartrate below 140bpm which gets increasingly difficult the bigger you get. There are also a number of exercises you can't do while pregnant eg. sit ups. Some things that require balance are not recommended as you get bigger either as your centre of gravity shifts and you become unstable (Body step might be an issue in this regard) and more likely to injure yourself.

Having said that I exercised throughout my whole pregnancy last time and will again this time (once I get over this serious exhaustion). I had my gym do up a special program for me with cardio and weights. I also swam, did pregnancy pilates and pregnancy yoga. I also did Body Pump but had to modify many exercises as you can't do shoulders (lifting your arms above your head isn't recommended for some reason) or abs so I would do half a class and then go off to the bike or treadmill.

Speak to your GP and also your gym and they can help you. And I also always wore a heartrate monitor to make sure I wasn't overdoing things.