I asked my doctor the same thing.
He said "did you regulary exersize( god my spellings got bad) before you were pregnant?
Me "err no, I just thougt it might be healthy for me and the baby"
doctor " then pregnancy may not be the best time too start"
he also said that any exersice u do will be ok, as long as its not over done. And too stop as soon as you start feeling uncomfatable, and drink plenty of water, and take lots of breaks.