Why exercise during pregnancy? Because even in this condition you need to avoid a excess weight gain and maintain your muscles and joints strong. Exercise will also help prevent heart disease and others illnesses like the gestational diabetes that are developed during pregnancy. Besides burning extra calories it also helps you feel better mentally, emotionally and physically. In addition to all this, you also will develop the need stamina that is required for the labor and birth and to respond to the demands that a new motherhood brings.
Being physically active can also help you prevent the post partum depression. When you exercise your boby produces less cortisol and more serotonin so you will feel more calm.
To make exercise doesn't mean that you have to go to a gym, it means that you have to move regularly. And if you are having a healthy pregnancy it is safe and beneficial to be physically active. It doesn't matter what kind of exercise you make, as long as you dedicate at least 20 to 30 minutes three times a week. Even a few minutes daily walk will be very beneficial for you.
However, during pregnancy, moderation must be your key word regarding exercise. Never exercise to the point of exhaustion. If you start to feel lighteaded, breathless or even just tired you should stop. It is important that you watch your heart during exercise, your heartbeats mustn't get higher than 140 beats per minute. Activities like aerobic or weight lifting may become more difficult to continue throughout pregnancy. You may continue to lift weight, but it´s important that you avoid back strain and it´s also important that you modify the weight use as your center of gravity changes. Don't forget to include a warm-up and a cool-down period when you exercise, be sure you stretch a lot and drink plenty of water.
If you already had a exercise regimen before getting pregnant you can probably keep it, but you should always talk with your practitioner. The are some sports that you should avoid like soccer or kickboxing because you might be hit in the abdomen. You may replace bouncing activities like jogging with low-impact ones such as aerobics or swimming.
In sports that are more adventurous like horseback riding, it's important thet you use common sense, they are not more dangerous during pregnancy but they could pose unexpected risks of injury.
A good exercise for you to meet other moms and maintain yourself physically active are the prenatal yoga classes. Here you can find a variety of exercises and stretches adapted to your condition, they increase your flexibility, promote relaxation, and improve posture. But there are other exercises that you can do that are considered safe:

Aerobics and dance
Dance of all kinds will be a wonderful exercise if you avoid jumping and bouncing. Also low-impact aerobics can be suitable for you if you feel confortable with it.

Walking
It is a good exercise to maintain endurance, strength your muscles in preparation for labor, combats fatigue and improves blood circulation.

Swimming
Benefits are similar to walking and in water, despite your body volume you can move more easily, feel more free and weightless.

Pilates
Improves breathing, concentration and the body alignment and increases flexibility by the use of series of controlled movements that strengthen the whole body. It is advisable that you work withe a Pilates instructor that is familiarized with pregnancy because there are some exercises that may not be suitable during pregnancy time.

Bycicle riding
It´s a terrific exercise, non-weight-bearing, and that you can do in a stationary bicycle or outdoors.

Relaxation routines
You may use audiotape relaxation exercises to help you relief tension. This technique that you may learn can be useful during labor