I am 24 weeks along right now. I started out at 195 and I am currently 196. I have to stress, I am not opposed to gaining baby weight (but I do know that I should only gain 10-15 lbs), I just wanted to not be drained all the time and I really needed me time to destress from 3 other kids and a husband. ;)
With my OB's support and approval, I have been Zumba'ing 3 times a week (sometimes at the gym, sometimes from a video in my living room)and doing water aerobics 4 times a week (twice a week, the H20 classes are scheduled right after Zumba so I use them to cool down). My OB really did stress the benifits of the Zumba though, whether structured or DVD.
With my third baby, I bought a prenatal bellydancing vidio from the Belly Twins's website. I really liked it! It was low impact and made me feel sexy, even at almost 200 lbs.
As far as diet goes, I'm not the best. About the best I tend to do is a homeade fruit smoothie that I make tons of and freeze so that I can just have a scoop or two for breakfast or mid afternoon snack. Then, when I make it home from the gym famished, instead of reaching for the oreo's, I'll have a bowl of Crispex. Other than that, I cook as healthy as I can get my 1, 4 and 8 yo to eat (which definitely has it's limitations).