Exercising while pregnant is important for both you and your baby. If you exercised prior to getting pregnant then it is safe to continue doing what you were doing and adjusting the intensity as you get bigger.
If you have never exercised, then it is important to start off very lightly, early on in the pregnancy if it is safe to do so. Giving birth is like running a marathon so the fitter you are the more prepared your body will be, and the quicker you will bounce back after the birth of your baby.
There are many exercises that are safe to do whilst pregnant from daily walking to resistance training workouts 2-3 times a week. During the course of your pregnancy it is inevitable that you will gain weight, but being active on a daily basis will help to keep your weight gain at a healthy rate, not to mentioned keep you feeling great.
If you are unsure of what exercises you should be doing then it is best to invest in the help of a good personal trainer that can guide you in the right direction. Or you could partake in a pre-natal exercise class in your area. The most important thing to remember is to keep MOVING.