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.