I'm sure people realize they can do things like walk and air squats while they're pregnant, but you have no idea how many women become scared to do ANY physical activity while pregnant. Whether it's because their doctor told them to limit certain activities while pregnant, or they've heard bad stories, it's beyond me. The benefits of an active pregnancy by far out weigh the cons. Plus many women are concerned about weight gain and recovery from pregnancy. You want to combat excess fat and make for an easier recovery, GET IN SHAPE!
I'm not saying you have to go out and run a marathon, although some pregnant ladies do, it's important to establish a well rounded fitness routine. If you're already an athlete, then this should come easy to you, you can continue doing activities that you were doing prior to pregnancy, although your body is changing and things may get more difficult. If you're not used to being active, then pregnancy isn't necessarily the time to go out and try a bunch of new things, but consistent walking/speed walking, body weight exercises, and even prenatal yoga can be proven to be extremely helpful.
During pregnancy consistent exercise can also combat things like your constant fatigue, depression, and hormone irregularities. If you're not a member of a gym, where quality resources lye, there are online programs that are very useful that are specifically made for pregnant women. One of my favorites, Birthfit. They have all the research and resources to make for a fit pregnancy.
Things you should be cautious about; your intensity, they're may be some activities you have to decrease your intensity to prevent extreme ligament pain, cramping, or potential bleeding. Your instinct is key, if you feel, or your body feels, like you're doing too much, then back off. Balancing exercises, like biking. I've known many tri-athletes that don't have a hard time with biking, however, you have to be conscious that your center of gravity changes and can put you at a high risk for toppling over! Contact sports should also be limited or eliminated, I don't think I have to explain this one, although I personally played volleyball throughout both my pregnancies with no issues. Self awareness and eliminating moves, like diving, were key. If you're stuck and don't know where to start, ask your wellness professional or trainer. They can set you in the right direction.