First thing is talk to your doctor.
A lot of what you can do is determined by how fit you are before you get pregnant. Most of the women at my gym have it recommended that they kept their BPM to a certain level- and how quickly you reach that is very much determined by your cardiovascular fitness. I see some women who manage to run and do Spin classes their entire pregnancy. Others head straight for water aerobics, Pilates and Yoga.
Just remember that with Pilates and Yoga a lot of poses will need to be adjusted for pregnancy.
With the weights, I know that Les Mills try and say that Body Pump is OK in pregnancy, but as your ligaments soften with all the hormone craziness, I would steer clear of lifting weights.