In 2002, ACOG released new guilelines for exercise during pregnancy.  The new guidelines are quite different from the older guidelines.

 The current recommendation is for pregnant women to get 30 minutes of moderate exercise on most days.  Do not exercise to exhaustion and avoid extremes of temperature. If you are very fit and participate in vigorous exercise, you can probably continue your current exercise routine, but you should check with your doctor first.

 While exercising, you remember to stay well hydrated.

After the first trimester, you should avoid exercising while lying on your back (supine position). The weight of the uterus and baby could push on a major blood vessel running along your spine, and may cause low blood pressure.

The old guideline of keeping your heart rate below 140 is no longer the current recommendation.

For more about the new guidelines, there is a good article about it here

You may also read the ACOG Education Pamphlet about exercise at their website. 

Here are a few more exercise related sites to get you started:

Fitness for Two - From the March of Dimes web site

Exercise and Fitness Resources from Childbirth Connection

Using a Stability Ball during pregnancy - follow the link at the bottom of the page to see some exercise demos.