Yes! I did one for a couple of months in my last pregnancy and really loved it. It definitely helped to keep my weight gain in check (a major issue that I have with pregnancy, I tend to gain a lot!) and I also felt better, in general.
I did regular water aerobics while pregnant. It was wonderful. I just liked feeling weightless for an hour. I also swam laps and loved loved loved that (but I was also a swimmer before I got pregnant).