Exercising while pregnant has so many benefits for both mom and baby that can last for years beyond the birth of your child. I exercised throughout my entire pregnancy including the day I gave birth to my daughter. Some days it was so hard to get my body moving. And to be honest sometimes I just gave up mid workout. I felt the most important thing was to try to stay active but also be in tune with my body and my limitations.
It was so difficult for me to find a prenatal workout routine. I tried so many and they all seemed so lame and way too easy. I finally found some exercises that I liked, felt comfortable doing but also found challenging.  It was the only time in my life that an exercise I did on day 1 seemed so much harder 3 months down the line. I learned to make modifications that allowed me to stay fit throughout my entire pregnancy.
I found this great article highlighting some of the benefits of exercise during pregnancy.