My first pregancy I gained a ton of weight-and it took me forever to get back in the groove of things-but this is because I sat around all day, stopped exercising, and ate for 3 instead of two.
In my second, and my recent third pregnancy-I stayed with the exercise. I ate something if I had a really bad craving for it-but I didn't use my pregnancy as an excuse for eating 2 King sized Snicker bars for dessert.
I altered my workots for pregnancy-but I stuck with them. I did prenatal yoga (Crunch Yoga Mama is my favorite!!!) to keep me limber and it really helped, and helped keep me from having any back pain from the weight of the baby.
I kept up walking-although I had to walk slower and slightly less distance in my third trimester. (As you get further along, you do have to adjust to less intensity.)
I kept belly dancing, and I performed until I was 6 1/2 months, and I taught up until a week before I had Saber. I literally called my students and cancelled my last class after the doctor told me at my visit earlier that day that I was dilated to 3 and in early labor-and I better not teach tonight!
There are things you do have to modify-no laying down on your back movements like crunches, etc.-because of the weight of the baby and larger uterus on your spine, etc.-but you CAN continue to do a lot of what you do, just modified a bit.
Activity, I think is a major key in having a normal pregnancy weight gain of 25-35 pounds or so-rather than gaining 60 or 80 because you just let it all go.
Watching what you eat to a certain extent helps, too. I ate fresh fruit, yogurt, oatmeal-all the things I would normally eat. Healthful foods. As I stated before-if I had a craving-I indulged-but I made smarter choices. A small piece of chocolate instead of a King Size candy bar...a Happy Meal (everything smaller) instead of an adult large sized value meal at McDonalds-because a small fry can satisfy the craving just as well as a large one, if you savor it. You can eat what you crave without adding TOO many extra calories.
I am currently nursing, and exercising again and trying to lose my baby weight. I know what to expect though, and know that I am still eating for two...or at least, adding in 500 extra calories a day on top of what I normally would eat at weight loss mode-because of the nursing. I know that it is going to take about a year or a little longer to get back to where I was. It is a big toll on your body-and you have to give it time. You can't expect to have your pre-baby body back 2 months after delivery like some new moms do. (Movie stars do not count-they have nannies and personal trainers.

) I would lose weight quickly too if I had someone to watch my baby while a personal trainer kicked my butt for 2 straight hours each day.
If you stay fit during your pregnancy-you heal better afterwards, you feel better, and you bounce back sooner.