My dr. said: 1) Do not take up new exercise that your body is not accustomed to. Keep your heart rate at a safe level even if you do. 2) Some exercise throughout pregnancy is extremely helpful for labor, and then recovery.
Let me also say, I hate exercise. I'm fit and healthy, but I know it's important.
That said, I started a regimen of walking 30 mins. at least 3X per week during my last pregnancy, and I've kept it up ever since. I ended up with a C/S, and my recovery was really great.