If you were not active before you got pregnant you should not do anything untill you talk to your OB. If you were already active, mild excersise is usually okay, like walking, stretches, a yoga class for women who are pregnant but you should talk to your dr no matter what.
walking is always good, as long as you feel like it, and your dr says it ok. you can control the 'bounce', the speed, the distance. its keeps the circulation going, the heartrate gets a jazzing. there's also some yoga positions that are beneficial, too.