I've found New York to be a great city to be pregnant in, as my day-to-day routine forces me to do a lot of walking — it's built-in exercise, whether I'm doing it intentionally or not.
Almost every weekend, my husband and I take our dog for long walks in Prospect Park, and that, paired with yoga (we'll get to that . . . ), has been just the right amount, and right kind, of prenatal exercise for me.
Source: Flickr User Brooklyn Cyclist