i've been running for over 15 years, at least 5/6 days per week. so i kept on running through my previous 2 pregnancies -- 6 months into my first and 7 months into my second (then back to running after about 3 months postpartum). i switched to speed-walking after that (about 3.6 mph), which i continued until the day i gave birth each time.
i'm now 7 weeks into my 3rd pregnancy, and still running 2 miles at least 5x per week. i run with a heart rate monitor, and my heart rate is usually in the 130 -- 160 bpm range, but it's pretty steady overall. i have definitely slowed down since this pregnancy began, but my plan is to keep going until my body tells me to slow down even more, or switch to walking. (i should add that i'm 38, so no spring chicken!)
i credit running with helping me to stay healthy throughout my pregnancies (no diabetes, blood pressure or weight gain issues) and to have fast, easy labors. there is some research that shows that regular, aerobic exercise and overall physical fitness can speed up labor. running also gave me more energy, i think. both my babies were healthy, full-term (39.5 & 40.5 weeks) and normal birth weight.
i think the key is to listen to your body, and do what feels right to you.