WHen I was pregnant, I stopped all exercise altogether. Not good!! That made me gain SO much weight... luckily I've lost most of it again, but my midwife told me (and I did some research) that I could lift weights all the way through if I wanted. So... next time round I"ll be doing that I think!
It does depend on everyone though - I'm used to lifting weights and do it every day (bar weekends) so for me to continue would be natural. If I DIDN'T lift anything then suddenly started while pregnant, thats not very smart. I think you have to follow what you feel you can achieve too... if you don't feel like lifting weights or going for a run or even a walk while pregnant, well, don't beat yourself up about it! Its about staying healthy not losing weight