I highly recommend keeping fit during pregnancy - I have had a really easy time with high energy throughout and am convinced the excercise played a part in that. In fact, I went through a bad month at work and more or less stopped excercise as I was working really long hours, and suddenly I found myself complaining about all the aches and pains other pregnant women were describing... got back in the routine and things quickly improved.
My caveat is that I was pretty fit for a good 9-12 months before getting pregnant so excercise was not new to me.
In the first trimester I didn't change very much at all. I informed instructors and just paid more attention to what my body was saying, drank loads etc. I was doing everything - Zumba, Step class, walking, various cardio activities and resistance training. The only thing I dropped was PowerPlates which is not recommended in pregnancy.
In the second trimester I started incorporating pre-natal pilates, and started phasing out the Zumba & resistance training over the course of the trimester.
By the 3rd trimester, I stopped Zumba and Step Class, started aqua aerobics, kept up the pilates and walking.
Many people will recommend sticking to "gentle" excercises and that's fine.. I just say listen to your own body, everyone is different, and now is not the time to start pushing yourself too hard.