One of the ladies at our dojo is expecting and she's training through her pregnancy, looking mighty fine doing it, too. Obviously she's not doing every single thing like she used to, and not always with the same intensity, but she's working hard and it's a very wonderful thing to see.
We were chatting about the benefits of exercising while pregnant the other day and I mentioned that I'd done just that - continuing to do karate all the way through three pregnancies, and coming back to the dojo within days of giving birth. OK, so I wasn't very intense at first, but to me what mattered was to keep up the exercise routine. I knew if I took a break I would have trouble coming back, so I took no break.
Plus there's something extra badass about doing martial arts while pregnant, and it makes you look impossibly adorable, too. Pregnancy is not the best time to take up a brand new intensive sport, but if your body is already used to doing something, and your doctor is not fainting at the idea, by all means keep doing it. You won't regret it.