I think as a rule you're told you can do as much activity as you're used to but be careful what it is & don't try to do more than you're used to. If you're used to going for a run or going to the gym then you can keep it up but you have to be careful about things which if you got injured could harm your baby. Like my sister for example does Judo which isn't very safe! Also remember your hormones are relaxing your ligaments so it's easier to get strains and hurt yourself in general.
Going for brisk walks or jogging if you're used to it is good, swimming and some airobics or yoga. There are normally classes designed for pregnant women.
Fortunatly for me I've been told to avoid it all because I have a problem with my back.

Still I walk to the shop when we need something so I don't sit on my arse through out my whole pregnancy.