Walking and swimming is good for anyone even if you did not exercise prior to your pregnancy. Prenatal yoga is nice too for relaxation and stretching.light weights are good too. Don't left anything too heavy.
For more high impact exercise like aerobics or running, it is generally not recommended for you to suddenly take it up if you were not already doing it regularly.
If you have complications with pregnancy, it's always good to check with doctor first. But I think walking is generally safe and recommended for everyone. Wear good shoes. I find the bigger I get the harder it is on my ankles and knees.