Agree with lots of what's said above, I did skipping, swimming (can't to front crawl but do a mean doggy paddle which is surprisingly good for cardio - prob not in preg though!) Short jogging, cycling 4 miles to work each day and I have played capoeira for years (not as obsessively as some!) all before pregnancy. I also started ashtanga/ forrest yoga a year before preg.
In pregnancy (now 22 weeks) the swimming has definately been the best thing to continue, apart from anything it seems to help with occasional water retention and using a kick board seems to help leg tiredness/ fitness. Plus nice and cool. I had a wobbly thyroid for a while but swimming was good as can do as little or as much as needed and quite a nice therapy too. Found the jogging by 14 weeks hurt my lower back, Capoeira fine if just doing the turns, squats and kicks but didn't play other people.(currently can't be arsed to go!) Definately no core work and it hit me pretty suddenly why as you do begin to get tweaks quite soon. Carried on the yoga class as ok by teachers who are excellent, strictly no core from 4 weeks but lots of leg stuff which has been great, and supplemented with preggo yoga but i do find it a bit dull. (horse against the wall is fab).
still cycling when I can but its pretty safe round me with lots of cycle paths. ( I wish there was a baby on board sign you could stick on some how - tabbard?!)
Surprisingly found aquanatal pretty good!
Excellent work out dvd set by someone called erin (workout, yoga, pilates and post preg workout) which really got me sweating. - look on amazon.
Haven't quite managed to squeeze in pilates yet but many people recommend! Main thing imo is to listen to your body during and the next day, muscles, tiredness etc. You may find pretty soon you pant more etc! I have found (once thyroid began to stabilise) that morning exercise is better/ easier if possible, I appear to be less likely to drag meself out after 6!
Oh and very slim pre preg but instant weight gain on thighs and bum (extra 2-3 inches) stabilised around 12 weeks. Ive begun to think necessary fat stores to prepare for bf / hormone storage as not fatter in face and only slightly in arms. Once the bump starts bum doesn't look so big! Erin does lots of good squat stuff.