I agree that it is really hard to have to modify your activity as the pregnancy progresses. My pregnancy advice is ancient (my youngest is 23) but I was extremely active during both of my pregnancies.
I was doing aerobics, at the gym and pretty much didn't have to change anything until my 7th-8th month during the first one. I tried to keep my HR below 140, though. At that point, I started walking and swimming near the end of the pregnancy because I just felt unbalanced and awkward. At the time, I wasn't really exercising outside and the change was good for me.
During my second pregnancy, I was really fit. One day I decided we should go for a family bike ride when I was starting my 8th month. Somehow, I got nervous and stopped quickly, forcing the down tube shifter into my stomach. I had a huge bruise, but was fine. But 5 days later I went into premature labor. Everything was fine, but I should have thought about the fact that my center of gravity was different before I went riding, especially since I didn't ride all that much back then.
It was really hard for me to accept the fact that I had to slow down, but then when my son's well being was threatened, I snapped out of it. It would have been better to skip that ride, because after that, I had to stay home for 6 weeks, no work, and my mom had to come and stay with us for a month. My 2 year old was calling her "mom" by the time she left...