One of the most important things to think about when it comes to exercise is to pay attention to your body temperature. During exercise, your body temperature rises externally and you start to sweat a little. Keep in mind that your core body temperature and that of your baby is higher than you're currently experiencing on the outside. Be sure you exercise in a well ventilated area, drink plenty of cool water, and keep your exercise duration down to 30 minutes or less. If you're used to exercising more, than do so in 30-minute intervals a couple of times a day (if you have the energy, otherwise, just rest when your body and your baby want you to).

Know that when you exercise some of the blood flow is diverted from your growing fetus to your working muscles. This is not to say that exercise is harmful -- in fact, it's the direct opposite -- just be mindful of your exercise intensity, and duration. I would suggest finding a prenatal fitness class in your area.