I am now 28 weeks pregnant and been struggling to keep my weight gain to a minimum throughout my pregnancy. I've just started swimming though which i find is really good in the hot weather as it helps keep me cool and is less wearing on the body than walking or other weight bearing exercises.
I've read that good exercises to do while you are pregnant are walking (only at a brisk pace), swimming, water aerobics specifically for pregnant women, cycling on a stationary bike, step machines, yoga designed specifically for pregnant women, and relaxation routines.
Jogging, tennis, skiing, light weight lifting, cycling, hiking, volleyball and dance workouts (all done with extreme caution) are reccomended for only well-trained, experienced athletes.
For all pregnant women though, definate no-no's are jogging 3km+, horse riding, waterskiing, diving or jumping into pools, scuba diving, contact sports, sprinting, downhill or crosscountry skiing, cycling in race position (bent forward).
I was particularly interested in water aerobics for pregnant women however theres no such thing in my area. Sounds like a really good way to meet other mums-to-be while exercising and keeping cool all at the same time.
Think i might have overloaded you with information... but hope i have helped.