When I was pregnant last year, the midwife told me that I could continue exercising but maybe keep it at 80% rather than 100% of my capacity. She said that when you get very overheated, the embryo/fetus gets overheated, too, and it takes the embryo/fetus a lot longer to cool back down than it takes you (she cited some medical research, but I didn't get the actual citations). She suggested that if I get very overheated from working out, to take a cooling shower right after, or use a cool water bottle against my belly. I hadn't heard that before, about overheating, but it seems reasonable.
I think the other main thing is that if you are relatively fit, and have been working out, it is fine to continue. If you have been a total couch potato, don't suddenly start an intense crossfit regimen! They say that for people who aren't pregnant, too, but I guess it is more the case for us. Now isn't the time to suddenly start an intensive new training program, but it IS important to be fit. Women who are fit and have strong muscles (especially strong core muscles - back and abs) have easier pregnancies and easier births.
I was doing aerial yoga regularly before I got pregnant, but I can't do it now that I am pregnant (too much direct pressure by the sling on the abdomen). My intention is to go back to spinning and regular yoga but so far I have been slacking! I need a workout buddy that will keep me accountable! (I am doing a good job staying off sugar, though, so yay).