A good friend of my recently gave birth to her third child. For her third pregnancy she made the decision to stay active with swimming 3-4 times a week. She gained less weight duirng pregnancy, and had a smoother pregnancy and post-pregnancy recovery. Swimming provides such a good form of cardiovascular and circulatory exercise, in the healthy and safe environment of water which is good for the momma and the baby. You can swim through all your trimesters up to the day you give birth because it is such a healthy form of exercise, and you can return to the water as little as 2 weeks post pregnancy.
I highly encourage taking up the sport of swimming during your pregnancy. This video gives some more information on swimming exercises you can do:
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Re: Swimming While Pregnant