There are many books and sites with suggestions for exercising during pregnancy and the reasons are many and pretty obvious.
What is not so obvious are the benefits of a breathing practice during
pregnancy and especially the last few weeks in preparation for the birth
process. I recommend the Ujayi breathing, and the complete or three part
breath to practice every day
. Breathing exercises
First, this gets more air and oxygen going thru your system and more new
oxygenated blood to growing baby. It's difficult to get a good big breath
when you are pregnant and its good to be more conscious about getting enough
air by practicing breathing, just as you would exercise consciously.
Second, when you use the complete breath or ujayi breathing, this brings calm and relaxation automatically to the rest of your body. If you have any fears about the baby, the birth process, the future, and body changes, you can calm your mind and body by starting with your breath. Many of the fears we have during pregnancy, are just worries that we have no control over and thus a waste of time and energy. Use your breath to help yourself let go of these worries.

As you practice breathing, also add meditation. This is just simply thinking, visualizing, and pondering. Visualize a healthy baby, a strong healthy body, rich reserves of strength for the birth process. See the whole birth process in your mind the few weeks before. See what your ideal is and how each person and each place fits into your ideal. Meditate only on uplifting, wonderful, optimistic things. Think about accepting your body and how it changes and have a thankful heart for your body and its fertility.
A month or so before the expected birth date I would recommend finding two things: some music to practice with, and a thought or meditation that you memorize. These things will be used during the birth. Make all the arrangements you need to have this music with you during the laboring. It's not as useful during the pushing stages. Pick a favorite or new CD - something that encourages long breaths. Practice breathing with this music until it becomes automatic for you so when you hear the music, your body responds by deep slow breathing.
You may want to have several hours worth of music in case you have a long labor. During the pushing stages you are turned more inward and may not even "hear" the music anymore.
The memorized thought or meditation is to keep your mind focused during long, painful moments. During several of my births there were times where I seemed to be stalled and my mind was racing here and there and becoming very negative. I needed something to think about. It is the same experience I always have while hiking a long or difficult trail - I have to have some repetative statement to keep my mind busy, so my feet could just keep moving forward. This could be a scripture, a line from a song, or just one short sentence or a few words. Something positive, uplifting that reminds you that your are loved and cared for and that you can accomplish the task at hand. Have your labor helper also know this phrase so they can say it to your and bring your mind back to focus if you seem to be wondering and ready to give up.

There are also many weeks after baby comes that you need Ujayi breathing. After-birth pains and adjusting to nursing are the most common reasons. The natural response to pain is to stiffen up until it goes away, but it is better to breathe slowly thru the pain. The sound of the Ujayi breath can be something to focus your mind during these moments of pain.
There are experiences that happen during a normal birth and after than can cause anger and frustration in both husband and wife. Working with doctors, nurses, and hospital rules can be very infuriating. Lack of sleep, good food and water and a baby that has trouble nursing can cause frustration and brings you to the end of your emotional rope. Breath and meditation and forgiveness are a must. Most of those who help during birth are doing the best they can and unless you choose your own home to give birth, then you are stuck with hospital rules. Actively forgive all those people and experiences that made you angry during your birth. Let go of bitterness. If you can't seem to forgive, write down your feelings and anger in as much detail as you want. Then name each person and each experience and forgive them and then destroy the writing.
Keep practicing a relaxing breath when establishing the nursing relationship. Baby can sense any uptight emotions and thus making it more difficult to nurse. Use the same techniques learned in relaxation pose to help yourself as you establish nursing - scanning your whole body for tension and consciously relaxing. Learn to nurse laying down where you can relax entirely and even fall asleep if you want to. I can't recommend the LeLeche league too highly for helping the nursing relationship. Our little town of Rexburg has one and probably there is one close by where you are.
Graphics from here