I think Limewave has it pretty right. If you are fit before pregnancy and exercise regularly, then you can do the same (less intensity) while pregnant. I exercised before I got pregnant with my first son. I continued to exercise while pregnant. I ran until that became uncomfortable, then switched to biking. I had to transfer from my regular bike to an exercise bike when my belly got bigger (remember your ligaments are more "stretchy" when you are pregnant) and the feeling of my belly hanging down when I rode my bike became uncomfortable (my stationary bike had an upright position, so no discomfort).
Listen to your body. Stay hydrated. Don't overexert. If it feels uncomfortable, stop doing it.
By the way, I'm convinced that my labor was easier because of my fitness, and even more convinced that I had less pain and an easier time because of all the time in the saddle! By the way, both my boys were born naturally. My 1st OB was shocked and amazed when she arrived to deliver my first born and asked about medications and the nurse told her "none". I went in with the attitude that I would only take meds if I really needed them. I didn't!
I'm sure Lise our resident Midwife can give you more info on the delivery part of your new adventure! Stay healthy and enjoy!
Whoever said last man standing wins never asked a girl to play!