Generally the advice is you can continue doing anything you were already doing before you got pregnant, but don't start anything new other than stuff like gentle swimming/prenatal yoga etc. You can start that whenever.
I never stopped working out, I am a fitness instructor and am at the gym 6 days a week. I am now 27 weeks and have had to back off a little, I get breathless easier and I have taken out so much high intensity but I still workout for 2 hours a time, burning aprox 1000 calories or so. I do light weights, high reps and heavy cardio. I hydrate A LOT. That is where you will get dizzy and overheat which is also not good for baby.