Just chiming in here - my boss just had a baby in May and she worked out up until she gave birth. I'm convinced that being that fit helped her with labor in a lot of ways. I worked out under doc supervision during my pregnancy as well, and I also think it prepared me in a lot of ways for labor (however, I ended up having a c-section, but I also think being fit helped me recuperate faster).
And everyone will have something to tell you about pregnancy and what you should or should not be doing ..... just do what is best for YOU and what your doc is OK with - and ignore everyone else.
At the beginning of my pregnancy, I had my ex-boss' wife go OFF on me for about 20 minutes about how awful I was for eating tuna fish. I ate a tuna fish sandwich and mentioned it in passing and she started screaming, "TUNA FISH?
?!!!!!! YOU HAD TUNA FISH!!!!!!! Your baby is going to have MERCURY POISONING! YOU CAN'T EAT TUNA FISH
Ah.... good times. Congrats on the little one