When I was pg w/ my ds, I started a regular intro to yoga class. I just told the instructor that I was pg, and she let me know of any pose I shouldn't do, or needed modifying. I absolutely loved it, it was my favorite time of the week. I was under a lot of stress- new job, dh was 600 miles away, being pg for the 1st time, etc. Yoga really taught me how to relax, and that I had the power to do it. The breathing techniques I learned REALLY helped me during labor- as did many of the stretches.
If you're really concerned about starting any exercise program, talk to your dr or midwife about it. Now that I think of it, I don't think I mentioned it to mine. Oops!