We bought a Wii with the Wii Fit Plus this Christmas and I can't rate them enough! Absolutely great for exercise and playing daft games - we love it.
I know a few people who have used it through their pregnancy, but there are no settings within the programme to say that you are pregnant - as your weight changes it would probably tell you off for putting on weight as it doesn't take pregnancy into account.
There are lots of light exercises on there, not too strenuous things like Yoga and light aerobic exercises like Step.