I taught cycling classes until I was 7 months, step and pilates until I was 8 months. Because I was so active before I got pregnant, and there were no problems with the pregnancy, I didn't find it difficult to keep going. It did get more difficult towards the end, so I stopped teaching, but I was still very active in getting out and about. I guess if you have good body awareness, you'll know when you need to take it down a little. Safety was my number 1 priority so I adjusted the exercises accordingly.
I guess with running, you need to be more careful with your knees and probably better to take it down to a brisk walk as you approach your 3rd trimester.