Make sure the one you choose is led by a certified exercise instructor with a specialty in prenatal exercise. She'll help you develop the safest program, while she works with you to meet your exercise goals and to develop body awareness, coordination, and balance. Plus, she can give you tips and strategies useful throughout your pregnancy and during your labor and delivery.
Yoga classes are another good choice.
The safe, simple movements teach slow-moving stretches, breathing, and relaxation techniques that are perfect for most expectant mothers. Try to pick one that is led by a Yoga instructor with certification specializing in prenatal exercise. If you're not used to exercising, begin slowly and work your way up. Never exercise in hot or humid weather. A climate-controlled gym or exercise facility is especially welcome on balmy days.