I would highly suggest excercising when you are pregnant, just don't overdo it. Your body will tell you if you are doing too much. Just don't lift weights, and stick to light cardio. Yoga is a good thing too....just be sure to do the yoga ok'd for preggy people
I would also higly suggest water aerobics. I did them my second and third trimester. You get a good workout, plus you can't overheat.
A lot of studies show that working out during your pregnancy and walking as well will speed up your delivery time... I went into labor a week early (yay! I was so happy!) and my labor time was only six hours...thirty minutes of pushing!!!!! Next pregnancy I plan on doing the same thing. I am also going to do the water aerobics to get rid of my baby weight too.