Fewer physical problems - A study on Aerobic exercise, maternal self-esteem, and physical discomforts during pregnancy (Wallace et al.), found there to be up to 40% fewer incidences of lower back pain and pelvic discomfort in women who exercised during pregnancy compared with those who remained sedentary through pregnancy.

Better Circulation - Regular exercise helps improve your circulation.  Improved circulation helps avoid uncomfortable but common pregnancy complains such as cramps, piles, constipation and swelling.

Labour - Women who exercise through pregnancy generally have shorter, less complicated labours.  Exercising during pregnancy increases your strength and stamina by working your heart and lungs -- the increased oxygen flow is passed on to the baby as well.  Another benefit is that many women who have exercised during pregnancy report afterwards that being fit made the labour easier (Wolfe et al).

Feelings of Well-Being - When you exercise, your body releases hormones called endorphins.  Endorphins make you feel more positive and better about yourself.  Continuing to exercise through pregnancy can help a woman to accept her changing body and be proud of her bump! In particular, women who have trained regularly before getting pregnant, feel more confident and happier if they continue to do so whilst pregnant. 

Improved Sleep - Many pregnant women complain of disturbed sleep patterns.  Regular exercise throughout pregnancy can help you to sleep better.

Post-natal recovery - starting regular exercise shortly after giving birth has numerous physical and emotional benefits.
Reduced post-natal depression - possibly due to having time for themselves and an improved self-image.
Reduced urine incontinence - although women who begin exercising soon after birth may initially experience some leakage during their sessions, this resolves quickly and the frequency of it occurring during activities such as coughing and laughing is less than for those who don't exercise.
Faster return to pre-pregnancy weight and percent body fat

REFERENCES:
Clapp J.F. and K.D. Little. 1995. The effect of endurance exercise on pregnancy weight gain and subcutaneous fat deposition. Medicine and Science in Sports and Exercise 27: 170-177
Clapp, J.F., K.D. Little, S.K. Appleby-Wineberg, and J.A. Widness. 1995. The effect of regular maternal exercise on erythropoietin in cord blood and amniotic fluid. American Journal of Obstetrics and Gynecology 172: 1445-1450
Clapp, J.F., S.J. Simonian, R.A. Harcar-Sevcik, B. Lopez, and S. Appleby-Wineberg. 1995. Morphometric and neurodevelopmental outcome after exercise during pregnancy. Medicine and Science in Sports and Exercise 27: S74
Little, K.D., J.F. Clap and S.E. Ridzon. 1994. Effect of exercise on post partum weight and subcutaneous fat loss. Medicine in Sports and Exercise 25 (Supplement): 15
Little, K.D., J.F. Clap and S.E. Ridzon. 1995. Effect of exercise on body composition changes from pre-pregnancy to three months post partum. Medicine and Science in Sports and Exercise 27 (Supplement): 170.
Wallace, A.M., D.B. Boyer, A. Dan, and K. Holm. 1986. Aerobic exercise, maternal self esteem, and physical discomforts during pregnancy. Journal of Nurse Midwifery 31: 255-262
Wolfe L.A., Hall P., Webb K.A., et al. 1989. Prescription of aerobic exercise during pregnancy. Sports Med 8(5): 273-301

Benefits of exercise for the baby

Tougher babies cope better with labour! - although it is difficult to objectively measure this theory, it seems that babies born to exercising mothers have a increased ability to deal with the potential problems of labour. When a pregnant woman exercises her babys heart rate goes up and down as it adapts to the changes in oxygen delivery across the placenta. Studies have shown that despite these changes, babies born to exercising women do not have higher levels of erythropoietin (a hormone released when oxygen levels are low) at birth than babies of sedentary mothers. (Clapp, Little, et al. 1995) It seems likely then that these babies have learnt how to react to changes in oxygen levels – an adaptation that surely puts them at an advantage during a long or complicated labour.

Sunny temperaments - once they make it to the outside world it seems that babies born to exercising mothers actually adjust better and are easier to care for. Although more research is needed, initial findings are that these babies quieten themselves down when disturbed and respond more readily to their environment. (Clapp, Simonian, et al. 1995).

Leaner more intelligent children - again more research is needed but it appears that the offspring of exercising mothers go on to be leaner and more intelligent than those born to sedentary mothers. A study comparing two groups of children (one from exercising mothers and one from non-exercisers) at age five, found no differences in height, limb lengths, or head and chest circumferences between the two groups. What did differ however was that the children of exercisers were not as fat and scored higher on tests of general intelligence and oral language skills. (Clapp 1996b)