Depending on where in the world you live there are VERY different views on exercise during pregnancy and whether you should in fact be doing any at all. So here are two different pictures for you:
In HK: I was about 6mths pregnant, I went to the gym to walk on the treadmill. I set the tread mil on a slight incline of about 5%, and started a brisk (ish)walk. After about 20 mins, as I stepped off the treadmill I felt very lightheaded and within minutes was sitting down with 3 worried instructors buzzing around me getting me energy bars and isotonic drinks. I'll never forget one of them saying 'but you are pregnant why are you even AT the gym?!?'. She thought I was insane, I thought she was even more insane for asking me that. The simple fact was that I had been a bit irresponsible and forgotten to have a snack before my workout. I was running on empty.
In London: in my mother's gym class I've seen many pregnant ladies from 3mths through to 8mths in the body conditioning classes. This is TOUGH 60min class that has cardio, and body toning using hand weights. It is totally the way to go in Europe
As long as you have asked your doctor if it is safe for you to exercise, and that you have no pregnancy complications it should be totally ok for you to work out, in fact it's positively the right thing to do (but you MUST check with your Dr first). It's all about being sensible too, if you have never done yoga, it's probably not the time to start. But if you continue something that your body was used to before (but modified to the fact that you are pregnant) then you should be fine. I think walking is great, I think Pilates is fantastic (specially for your pelvic floor which takes on quite a strain during pregnancy). Others love yoga and some people ( like the example above) love more strenuous exercise. I had a super fit friend who loved spinning, when she became pregnant she carried on spinning right through to her 7th or 8th month.
I don't have any earth shattering tips here other than you MUST wait to get ok from your doctor after your 6 week check up before you start any kind of postnatal exercise specially if you've had a c-section like me. It's amazing how the body changes during pregnancy and your expectations of what it is capable of after the birth have to be realistic. You need to start slow and then build up the straight. Consistency is the most important thing, even if you do 20mins a day. I waited 2mths after the birth and then I called my personal trainer and we went full on for a month (1 or sometimes 2 sessions a day, 5 or 6 days a week). Whether you have a trainer or not it's really important to understand what the right exercises are. For example it may seem obviously to do a lot of abdominal work after a baby to get that tummy back in...NOOOOO! the abdominal have a thin layer of fascia in the middle at the front that hold them and if you do crunches just after the birth you will most probably tear it apart (and that's for good). Crunches pull the muscles away from each other and there is only 1 exercise that draws them towards each other - you need to know what that is if you want to close your 'separation' (the gap between your abs). Some people can have a separation as wide as 4 fingers, I was lucky mine was only a finger wide. Anyway I'm not an instructor and I'm not about to give out any work out tips, all I will say is that with hard work and good balanced diet you can get back to your pre pregnancy weight if you want to within 6mths.