I do a pre-natal pregnancy class and I love it! Its specially designed for pregnancy and we do things like breathing through contractions and positions to help the baby turn from breech etc etc We also do a lot of stretching and weight bearing exercises to help our muscles.

I also walk a couple of times a week - when its not raining and I can be bothered!!!

So I would say do a search on google or ask your obs/midwife/clinic if they know of a class you could do.