Being pregnant doesn't mean you should just resort to resting all the time, unless you have been told by a doctor. Being active is a must as it will keep you in good shape and fit for labour. If you were exercising before, there is no reason why you should give it up now. Consult your doctor and continue with your routine. If you have not been very active, it is the right time to incorporate a bit of activity to your routine to not just stay fit but also to prepare your body for the demands of motherhood. Vigorous exercise is not recommended, specially if your are not used to it. Pace your exercise according to your body, which means that do as much as you can do comfortable and without exhausting yourself. If nothing else, take a walk and go only as briskly as you can while feeling breathless.