Walk. Walking is best exercise during pregnancy. It helps ease out delivery too. Another good exercise is swimming.
Use common sense. If you were already active prior to pregnancy, then continuing moderate exercise is a good thing. If not, then even walking moderately would be good way to stay fit. There are some modified yoga programs for pregnancy, modified water aerobics, etc. There are many options to stay active during pregnancy. Discuss this with your provider to be sure you can do this.