Get your doctor's okay without breaking a sweat. And if you plan on doing ab work, mention that, too, so your doctor can check your abdominal muscles. You'll be advised to skip exercise entirely if you have risky conditions like preterm rupture of membranes, pregnancy-induced hypertension, or a multiple pregnancy.
After the first trimester, avoid exercises that require you to lie on your back, which puts pressure on the vena cava -- the large vein that sends blood from your lower body to your heart.
Be careful not to overstretch or make sudden moves. Due to the effects of a pregnancy hormone called relaxin, your ligaments and joints are super lax, putting them at greater risk for injury.
You should be able to carry on a conversation when you're doing cardio. If you can't, reduce the intensity of your workout. Slow down!
Stop your activity if you experience contractions, dizziness, or shortness of breath while not actually exercising, a severe headache, increased swelling in the legs, or vaginal bleeding. Then call your doctor right away.