Generally Safe Activities

Aerobic exercise

Such as walking, jogging, swimming, non-competitive tennis, etc.
Health club equipment such as treadmills, stationary bikes, elliptical trainers. 

Aerobic classes

Designated as low-impact. The instructor should be made aware that you are pregnant.
Avoid intense aerobic activities such as kickboxing, spinning, tae-bo, etc.  Avoid becoming short of breath.

Weight lifting (light)

Using upper and lower body, lower weights, higher reps. Later in pregnancy, it is better to avoid direct abdominal exercises such a sit-ups and crunches. Avoid heavy lifting requiring straining. Avoid lying flat on the back after the 5th month.

Prenatal Yoga is an excellent exercise. 

Seat Belts

These should be worn at all times while in a moving vehicle. When the abdomen is enlarged, the waist belt should be worn below the abdomen, across the hips, and the shoulder strap should go across the shoulder above the abdomen. 

High Altitude

Airlines pressurize their cabins to the equivalent of about 6,000 to 8,000 feet elevation, so this altitude (whether in the air or on the ground) is generally safe while at rest. However, strenuous activities above this height can lead to altitude sickness (headache, fatigue, weakness, nausea). Please consider this issue when planning trips to any mountainous areas while pregnant.