I think you need to find a balance, if you are underweight, weak and tired in general you may find labour more of a struggle, but you don't want to get to the other extreme either. Gentle exercise such as swimming, walking, using an exercise bike, can be great until you near the end of pregnancy and no doubt make you feel more prepared, confident and strong for the birth! I wouldn't overdo it though, take it easy

Edit - Was also going to say about kegel exercises or yoga to calm you, but noticed you said that in a previous post.
I hardly "exercised" during my pregnancy, im quite active anyway.. did a lot of walking and stuff but nothing major at all as i've never enjoyed exercising. I had gas and air (I cheated, I know!) and coped with giving birth far better than I thought I would have, so I doubt theres a really great link between the two, just depends on what you're like with pain and a load of other things like what position baby is in etc.