Hi!!Like others have said, you need to talk to your doc about getting the ok to exercise. Assuming you are not high risk, exercise is definitely doable!
I am 31 weeks 3 days and I ran up until a few days ago. I was having an issue with lower abdominal / cervical pain when I ran that only just started late last week. I tried to run through it a few times, but it got pretty bad. Its not a contraction, so I expect its just the weight of the baby pulling / stretching ligaments and hitting my cervix. The doc said no more running if I'm having pain, so I have been walking with the treadmill on an incline and I bought a bike trainer (turns my regular bike into an indoor bike).
I have to be honest, right now since I wasn't cross training, my thighs are really sore on the bike so its hard to go fast enough to get really good cardio workout. Yeah my heart rate is up a little, but I'm not feeling it the same at running. I figure a week or 2 and my thighs should adjust to the new exercise.
I've also been doing strength training, but modified. I work my arms, upper back and chest.
You can absolutely stay fit during pregnancy and you will be happier for it.