Many women who exercise regularly do it to lose weight, or to keep from gaining. That's a good strategy, since a lack of adequate activity plays a big part in America's obesity epidemic. But the rules are different when you're expecting — the most important difference being: You're supposed to gain weight during pregnancy. If you're eating the recommended number of calories per day (from the right foods), and exercising for at least 30 minutes on most days, Mother Nature will work out the math and you'll gain the right amount of weight over the course of your pregnancy.