Listen to your body. If something feels uncomfortable or painful, don't do it.
Avoid any exercise while lying on the back after the first trimester. This position can cause the growing uterus to restrict blood return through the vena cava which lies directly behind the abdomen.
Drink plenty of water before, during, and after exercise. You need to stay well-hydrated to regulate both your body temperature and your growing baby's.
Exercise in a well-ventilated area and wear loose-fitting, breathable clothing to prevent over-heating.
Be aware of your changing center of gravity. Avoid any activity that involves sudden directional changes or that risks even mild abdominal trauma such as downhill skiing, rollerblading, horseback riding, etc.
Exercise regularly, preferably 20-30 minutes a day at least 3 times per week. Regular exercise will reduce the chance of injury and will help keep you in shape for "Labor Day."
Perhaps the most important thing you can do is to exercise the Kegel or pelvic floor muscle daily to prevent urinary incontinence and uterine prolapse, and to enhance sexual pleasure. Practice this exercise by stopping and starting the flow of urine. Once you have the hang of it, do not continue to perform the Kegel exercise while urinating, but rather perform the exercise while driving in the car or talking on the phone. Try to do at least 100 every day.
Pelvic Rocking is very good for the back and belly muscles - make sure to do these in a slow and controlled manner to avoid injury, and they can be valuable! Carefully let your belly sag towards the floor by tilting your pelvis forward - do not do this very far down, just a small tilt, then back to neutral, pulling the abdominal muscles in as you pull your back up. Do 20-40 at a session 4 times a day, and work up to 80 at bedtime. These exercises help keep baby from being in a posterior position and improve circulation to the lower body. The circulation benefit will be enhanced by lying down for at least 10 minutes after exercising.