Avoid straining. If you've exercised before becoming pregnant, you can generally continue. You should avoid activities which cause you to strain, bear down hard or cause you to become short of breath. Remember to drink plenty of fluids and wear supportive shoes. Also, remember that as your pregnancy progresses, you become 'top heavy' and your joints loosen up increasing fall and sprain risk.
Activities. The rule of thumb - anything that makes you feel uncomfortable should be avoided. Depending on the course of your pregnancy, your doc may suggest to restrict certain activities.