Swimming is really good, as theres virtually no impact on your joints/ligaments etc, and it supports your weight really well, which makes it quite comfortable especially as you get bigger/heavier with your growing belly.

There are also a couple of pregnancy excercise DVD's available...

The main caution when excercising when pg is to not to let your heartrate get too high.

Also check with the hospital you are going through... I took part in Pregnastics classes run by the hospitals physio dept for Pg women... they were really great, it was a combination of low impact aerobics, pilates, and relaxation excercises.