Amy,
Someone else mentioned avoidance of overheating in the first trimester. That is VERY true. Elevated body temp during that time is linked with birth defects. That's why you always see those signs on saunas and stuff - do not use if you are pregnant.

As for heart rate, I would avoid going anaerobic. Remember that baby gets a fraction of the oxygen you breathe, and a full dose of the lactic acid you produce. Some very good recent studies have shown what many have said all along; If you can carry on a conversation, you are aerobic. If you cannot, you are anaerobic. Don't need a heart monitor for that!

I couldn't exercise not one bit during my pregnancy. One step on the treadmill and I would puke. Back then I was a fit runner (well I was when I got pregnant). So you never know what your body will agree to. Always honor your body.