It is important to keep exercising while you are pregnant. Regular exercise can help to prevent back pain, among other things. Woman who are regularly physical active also have fewer problems with their weight, less pain during labour and recover faster after giving birth.
Pregnant women also risk developing gestational diabetes. Regular exercise improves the ability of insulin to reduce your blood sugar, which has a positive effect on your blood sugar level.
And remember, as in all aspects of life: exercise in moderation and appropriate to how you feel. Ideally you should discuss your fitness plans with your doctor first.