My wife was 2nd/3rd trimester preggo in Tucson in the summer. The weather (heat) plus her reduced ability to dissipate body heat tended to inhibit her exercise in general. When she could we'd go on our walks and she did her Jazzercise (she loves it, I love the smile it puts on her ex-professional-dancer face) when she felt like it. I didn't push the exercise too hard, I concerned myself more with her diet.
Some chiro plus massage helped her low back, which she has old injuries in, when she started really carrying heavy in the front.
Now that I'm starting to spend more time at the local CF Works to teach things like OL/KBs/gymnastics, her and my mom will likely be joining me there (this is post-partum though).