When I fell pregnant I was using the gym (no, not when I actually conceived, but around the time LOL), going to Body Pump (a high impact weights / aerobics type class), yoga, swimming and sauna / steam room. As you probably know you cannot use a sauna or steam room but swimming is great for you whilst you're pregnant. As for the other stuff, I was allowed to continue using weights and the gym until it was uncomfortableto do so (you know your own limit) and avoid using abdominal muscles, however, as I did Ashtanga yoga I had to stop my yoga classes at 12 weeks, so if you do yoga or pilates then check what type it is and get advice from your instructor / GP / midwife - there are usually lots of yoga classes designed for pregnancy out there anyway. I believe you can continue cycling throughout pregnancy but it is advised to use an exercise bike to avoid the likelihood of falling off it.
Personally, because I worked for full time up until I was 39weeks, I was way to exhausted to go to the gym and I stopped all my exercise classes / sessions at 12 weeks although I did incorporate a half hour walk (two 15min walks) everyday until I was 7/8 months gone and too big to waddle it. I had a very healthy diet throughout my pregnancy and at the end of my pregnancy I had put on 2stone, and my little girl weighed nearly 9lbs so I gained very little weight that wasn't baby or fluid retention. Obviously I'm not as toned as I was but now I have a babba I am making the most of taking her out for walks every day and building up my fitness again.
Have a chat with your GP / midwife, as I think it is a very individual thing; I know of people who were in the gym the day before they gave birth, but you know your own limits. Good luck xx