I like to work out with What to Expect workout DVD and Suzannes Slim and Toned DVD. It's definitely a workout, but good for you :)
Honestly, my Doctor said the best thing is walking. You can even do the elliptical or treadmill. Yoga is great too! A lot of places offer prenatal yoga.
They also say you can do your normal exercise as long as you're not making your muscles sore.
Hope this helps!!
Walking, swimming, light weights. Be sure to talk to your doctor before you start. If you are used to working out, you can usually keep with most of what you are doing. If you don't normally work out, you need to discuss it with your doctor before you start any thing.