Training doesn't have to stop while pregnant (as long as the pregnancy is going well and exercise is approved by your provider). Just need to be smart about it. Communicate with your care provider and listen to your body. Generally you bring down the intensity and shorten the distance when you are pregnant. Most women I know stop running around 6-7 months because they just feel it's uncomfortable after that... but there are some that feel ok running all the way through. Again, listen to your body and keep open dialogue with your care provider. I wasn't able to run during my first pregnancy, but my second I have been able to. Swimming is probably the best sport you can do while pregnant (definitely my favorite behind yoga when pregnant). Less stress on your joints and takes the pressure off your back and other areas from the weight of the baby.
Not only does exercising while pregnant help your health but the health of your baby. It also makes labor easier... by keeping your muscles relaxed (from yoga and stretching... but be careful not to over stretch since your ligaments are looser) and strong. Also, helps with stamina for labor.
During labor it really helped me to pull from those really tough training days and from really challenging races to remind myself I could do it and deal with the pain. Meditating and yoga during pregnancy also really helped with coping with the pain of labor.
Here are some of my favorite resources. Videos, apps, and books.
My favorite late 2nd trimester/3rd trimester youtube yoga videos.
Some yoga dvds:
Prenatal Vinyasa Yoga and Short Forms by The Dolphin Method
Prenatal and Postnatal Yoga by element the mind & body experience
Buff Moms-to-Be The Early Workout (if already in pretty good shape doesn't really feel like much of a workout but keeps you moving and helps stay toned.)
(there's a free version and a paid one. Get more workouts with the paid version) - workouts are by trimester and are challenging enough if you are already in great shape to feel like you got something out of it but not too challenging so that it's still safe while pregnant.
Kegal Trainer - there is a free version and paid.
Exercising Through Your Pregnancy by James F Clapp III MD and Catherine Cram MS
Runner's World Guide to Running and Pregnancy: How to Stay Fit, Keep Safe, and Have a Healthy Baby by Chris Lundgren
What to Eat When You're Pregnant: A Week by Week Guide to Support Your Health and Your Baby's Development by Dr. Nicole M. Avena
The Pregnant Athlete: How to Stay in Your Best Shape Ever--Before, During, and After Pregnancy by Brandi Dion and Steven Dion