Talk first to your OB about your specific health concerns and conditions. I weighed 250 lbs going into my 3rd pregnancy and 215 going into my second. During my first I was on bedrest for blood pressure concerns and gained 80 pounds that I'm here at Spark People trying Really Hard to lose.
The most basic advice I can offer is that by no means should you stop exercising even if you have a condition that doesn't allow for the rigorous impact of jogging/running. Even if you hop on an elliptical or walk around the block, keep moving, your body needs to be as fit and healthy as possible to ensure the health of the baby.
Being pregnant should be a joyful time for you and eating well balanced and healthy meals combined with regular physical exercise will help more than you might expect. Good Luck and enjoy yourself. Happy mommies make for healthy babies.