There are several benefits to exercising during pregnancy. Exercising releases endorphins, the 'happy chemicals' in our brains. Exercise helps you to feel better emotionally and physically. In addition, the calories you burn while exercising help prevent excess weight gain while at the same time encouraging your body to use the fuel you give it in a more efficient way. People who exercise regularly develop stronger muscles, bones and joints. In the long run, the benefits of regular exercise are even more impressive: lower risk of premature death, heart disease and other serious illnesses.
Pregnant women reap even greater rewards from exercise. Recent studies show that exercise helps prevent gestational diabetes, a form of diabetes that sometimes develops during pregnancy, by stabilizing blood glucose levels. A pregnant woman who already has gestational diabetes will be more successful at controlling the disease and avoiding insulin dependency if she combines exercise and changes in diet.
A regular exercise regimen relieves stress and builds the physical endurance needed for labor. Women who follow a regular exercise routine have fewer cesarean sections, are less likely to suffer from postpartum depression, regain their energy sooner after birth, and lose the weight they gained during pregnancy more quickly than women who do not exercise.
Generally speaking, any activity that you regularly participated in before you became pregnant will be fine for you to continue into the second trimester. Team sports, such as basketball, soccer and hockey where you are dependant on other people to avoid you as well as high impact activities are not recommended during the last trimester.
Here are a few links to some more information regarding exercise during pregnancy.