Why not try yoga? It would be wonderful for you during your pregnancy, because it stresses balance, breathing, etc. Amazon.com has quite a few dvd's specifically for pregnancy. Also see a few for post pregnancy. You can find them at the following link:
Once your pregnancy is over, and it's safe for you to do more strenuous exercise, you and your fiance might try "Biggest Loser, Yoga for Weight Loss" to get those toned arms and flat tummies.
Of course, no matter what else you undertake, a good brisk walk is always good.