It's very true that most people are supposed to gain weight, but not everyone. Because I'm a bit overweight my doctor told me not to gain more than 15lbs, but it would be better if I didn't gain anything. It's best to exercise throughout your pregnancy as long as your doctor has given you the ok. I also write down what I eat to try to keep to a certain calorie count.
You're supposed to gain weight during pregnancy. If you say the average baby is about 6lbs then plus amniotic fluid and placenta your growing belly will weigh roughly 10lbs by your due date. Plus if your breasts grow its a few extra lbs. I'm almost 26w and I've gained almost a stone. 13lbs. Depending on your pre-pregnancy weight it's suggested you gain upto 30lbs during pregnancy. But if you're really concerned eat lots of protein, avoid starchy foods and don't eat greasy/fried foods :)
Eat healthy and work out....I don't work out but Indo eat healthy and I've only gained 6-7 pounds and I'm 36 weeks pregnant