First and foremost, check with your doctor, because every woman and every pregnancy is different. Especially if you have health conditions or you have special pregnancy considerations, don’t skip this step.
Janet gave you an excellent list. Here is what I would add to it.
1) Avoid exercises lying prone on your stomach after the first trimester.
2) In addition to not getting over-heated, stay hydrated.
3) Work at a pace where you can breathe with relative comfort. If you’re not getting enough oxygen, neither is your baby. The old standard was to keep the heart rate below 140 beats per minute, but that was for my AFAA exam a little over 12 years ago.
4) Particularly in the end of pregnancy, your ligaments and joints will begin to get more flexible so that the pelvis can expand to give birth. Be mindful of that when stretching – you’ll be more flexible than usual but that also means your joints will be less stable.
Congratulations! I was very healthy going into my pregnancies, even though of “advanced maternal age,” so I was able to maintain fitness classes through 38 weeks with baby #1 and 36 weeks with baby #2 (she came early).