If you already do a lot of exercise, you are not going to want to give it up when you are expecting. Indeed, staying fit will help counter the fatigue and other niggles of pregnancy you might experience, and also maintain body strength for the birth and the physical trials of early motherhood. However, it's worth checking out some key articles regarding fitness that you can find via the ThinkBaby exercise in pregnancy pages.
Even if you're not naturally a gym bunny, staying as fit as you can really helps when you are expecting. However, for both fitness fanatics and everyone else, it's important to be aware of what your body is capable and what you should avoid.
Exercise in the first trimester (months one to four) - If you're used to exercising then you can probably carry on in much the same way you did before you became pregnant, if you feel up to it.
With the exceptions of sports with a high risk of contact or falling, most exercise can be undertaken safely at this time, including running and aerobics. The important thing to remember is to be aware of what your limits are and to keep within them, don't push yourself. This isn't a time to be gunning for your personal best. Listen to your body and lower the intensity when it tells you to.
Generally you'll want to keep your heart rate under 140 BPM, which you can track most easily with a heart rate monitor.
During the first trimester you may well be feeling tired, emotional, sick and generally off-peak, if so, then overdoing the exercise will only make you feel worse, whereas a moderate amount of exercise that you're comfortable with will probably give you more energy and make you feel better.
Don't think "Damn, I'm just not as fast as usual", do think "Great, I'm pregnant but still getting out there and exercising". Don't worry that you'll lose form by changing your regime, the most important focus for you know should be on making a baby.