I would really recommend the Active Birth Centre's Yoga for Pregnancy DVD with Janet Balaskas. I have been doing this since Christmas and it has been amazing! Depends what you're after though - it's not very physically challenging - more about relaxing and preparing for birth - but since I started doing it my back pain (which has been a problem for me for about 4 years - was starting to get really worried how I'd cope running round after a LO) has COMPLETELY gone. I credit the Active Birth DVD for that (and my beloved birth ball!)
I've done the DVD twice a week since I got it. It encourages you to focus on your baby, breathing techniques and suggests lots of different positions for active birth.
I love it love it! Can't you tell!!
Possibly the only negative is that it can be quite hard on your knees so I've been doing it with two pillows under my knees as well as the yoga mat. That seems to work OK.
One last thing - you'll need a birth ball for some of the exercises.
I used the Shiva Rea DVD I really liked this one cause although it was relaxing there is alittle work involved and the stretches are great especially as the bump grows. I have her Yoga Shakti DVD it is fab but definately not for pregnant women!!! Its tough.