That question is right up my alley. I'm 31 weeks pregnant and I teach a prenatal African dance class. You can dance as long as you are comfortable doing so. Some moves may eventually become uncomfortable, but as that happens you can discontinue that particular dance move. Modify,modify, modify! You don't have stop dancing, just modify the moves to suit your current body shape. If you start to feel any lower pelvic pain then of course see your doctor, but if it's not anything serious, stop doing the pelvic tilts -- the forward thrust of the hips. This move has caused cramping in several of my students, including myself, in the latter months of the second trimester and the third trimester. As long as your doctor says it's OK for you to exercise, there are no negative benefits as long as you stay hydrated,exercise in a well-ventilated space, and eat sufficient calories, at least an extra 300 per day when you exercise regularly. The positive benefits of exercise during pregnancy include an easier labor, a more comfortable pregnancy, you may experience less edema (swelling), a faster recovery after labor, your weight gain will be more of what you need and less fat gain.

The list goes on.