I recommend Elizabeth Noble's Essential Exercies for the Childbearing Year, which includes both prenatal and postpartum exercises.
Yoga has been one of the high points of pregnancy for me. I take a class once a week with a woman who use to be a childbirth educator and PLA. But in general women should seek out prenatal yoga classes or otherwise specialized classes (women's yoga) to address yr needs as a "preg-ling", as my godmother calls me. If you don't have a good yoga center nearby, I like Shiva Rea's Prenatal Yoga video, which is part of the Yoga Journal series.
For aerobic exercise, I love swimming, tho I don't go to the pool as often as I wd like. If you want to get in shape, also check out water aerobics--it's a great workout but gentle enough on the bod for pregnancy. And whenever I can, I walk briskly outside--careful not to bounce the baby, but fast enough to get some aerobic benefit.
A friend really enjoyed cycling throughout her pregnancy. She said she rode her bicycle earlier on the very day that she gave birth! I'm more of a klutz and would worry about falling down, so I might stick to a stationary bike.