Yeah I hate that I haven't gone thinking I might hurt the pregnancy but I'm 30 weeks already I'm gonna have to ask my doctor!!!!!
Walking & cycling are also very good. Check with your Dr first, as he may advise you to attempt to keep your heartrate below a certain threashhold. (140 bpm, but I can't remember?)
I am 18w 2d, and still managing a 6 hour hike on the weekend. I am reaching the point where I want to cut back, though, and the gym is sounding pretty good. ;-)
Its good to keep fit while pregnant, you should check with your docotr, usually low impact excersie is reccomended, such as aqua arobics, pregnancy yougs etc