I worked out at the gym during my pregnancy .I have an 8-month old now-- my first child. I played tennis and continued doing aerobics (cardiovascular training on treadmill, stairmaster, classes, etc) until about my four month. Then I met with a personal trainer who specializes in prenatal workouts. You might see if your gym has one. She gave me a set of exercises I could do in the 2nd and 3rd trimesters. Some of it was stretching, doing lunges holding weights, sit-ups with the stability ball, etc. Also, kegel exercises help strengthen the muscles used in delivery (thought I ended up w/ a c-section!:-( Also, you might try to find a prenatal pilates DVD or something similar online. Swimming, as I'm sure you know, is also great. Also walking.