IN my opinion, some of the best exercises that you can do in pregnancy are:
Swimming: Swimming is fantastic as it alleviates the stress on the lower back and it takes the pressure off your joints too. See if your local pool has any specific pregnancy classes on at the moment.
Yoga: The gentle movements of yoga are great for pregnant mothers and it's a fantastic way to relax too.
Exercises: Side-leg raises and light dumbbell work are great for toning the body, and once done correctly and gently will actually increase your muscle tone.
Walking: In the early stages of pregnancy walking is, as always, a great way of keeping fit.