L.B.
I absolutely loved Shiva Rea's prenatal yoga DVD. It calmed my nerves when pregnancy craziness threatened to overtake me.
http://www.amazon.com/Prenatal-Yoga-Shiva-Rea/dp/B0000BYNMH
Leisa Hart's Fit Mama is also pretty good.
http://www.amazon.com/Leisa-Harts-Fit-Mama-Prenatal/dp/B0...
Exercise is one of the best things for pregnancy. It helps you to sleep better, helps with back aches and just helps you to mentally deal with the weight gain better! It's also helps with labor and delivery.
Updated
Oh! I also enjoyed this one from Gabrielle Reese.
http://www.amazon.com/Gabrielle-Reece-Healthy-Prenatal-Wo...