My OB told me that the rule of thumb is that if you did it before pregnancy and your body is used to it, you can continue it during pregnancy. You should call your OB and ask if he/she has any other guidelines for exercise if you're not sure
I ditto the post above, however after the first trimester, I've heard that you shouldn't do exercises on your back. ?Not sure what type of Pilates you do, but most of mine is done on the back.
Re: Pilates?