Running and high energy exercises may be fine at the start but as the pregnancy progresses gentle exercise is best. The idea is to maintain fitness, strength your muscles and prepare your body for giving birth without putting yourself or the baby at risk (so exercises where you could have a fall, like rollerblading, may not be the safest).
A combination of weight-bearing and non weight-bearing is beneficial - perhaps walking or yoga, combined with swimming. Try and find some form of exercise that you actually enjoy, and that will be of greater benefit to both you and the baby.
Walking, Yoga and stretching works best in pregnancy. First trimester is very crucial. Avoid too much activity, bending or lifting heavy objects. In addition don't forget meditation and breathing exercises.
Walking and pelvic floor exercises . Most physios run classes for pregnant women. I'm not sure what the exercises are, but I always see them coming out of the classes covered in sweat, so there must be some cardio exercises involved. Most exercise regimes are okay, provided you have your doctors permission.