I have Denise Austin's Pregnancy workout and a Pilates video that I got at Motherhood. I have to say that I think they are both very good. Obviously, Denise Austin's is an aerobic workout and Pilates is Pilates (kinda like yoga, except it targets the "powerhouse"! I read in a Pregnancy Pilates book that if you do Pilates while you're pregnant, that you'll get your prepregnancy figure back quicker, even if you didn't have a flat stomach before!
I used Shiva Rea's prenatal yoga video almost every day. It was great exercise and good for relaxing too. She gives modifications so you can do it through the whole pregnancy. I also walked on the treadmill a lot. It was too hot outside. I felt pretty good throughout my pregnancy and I think a lot of that was from yoga. Good luck. Hope this helps.