Disclaimer: I am not a doctor or a fitness expert, this is just my experience. Every pregnancy is different so please check with your doctor first. I always was honest with my doctor and told her everything I was doing fitness wise during my pregnancy.
Running
So I entered my third trimester right at the beginning of January 2015. I had a full marathon on the 18th, the Houston Marathon. I double checked with my doctor that I was still good to go.
I knew I was getting slower the bigger I got so I was not expecting anything but finishing. One of my friends ran with me until like mile 18 because her training was off too due to a nasty flu virus a few weeks beforehand. At mile 18, I told her to leave me because I was going to walk. I developed some nasty Charlie Horses in my calves and running was out of the question. It was also getting pretty warm. I drank at every water stop and drank plenty of Gatorade too. I also had food on me. I finished with plenty of time. The spectators were great and encouraging. My friends were also awesome for waiting for me to get to certain places. It was a great experience.

This picture is mile 9 and I am 30ish weeks.
I kept running my whole pregnancy but after marathon, I backed down in mileage. I ended up doing 2 more 5ks and then just short runs. I also stopped running with my friends because I couldn’t keep up.

This picture is at about 38ish weeks. I ran until 2 days before I gave birth. I found just listening to your body, having plenty of water/nutrition and walking when needed really helped. Once I got super pregnant like the above photo, I would run only when my husband ran and he would know my whole route in case of emergency. I also only ran in crowded areas. After my run, I would make sure to rest my feet.
Other workouts:
I had to stop doing yoga in my 3rd trimester not because of my doctor but because it was too uncomfortable for me. Even my favorite poses were uncomfortable so I decided to stop.
I did Crossfit until 5 days before I gave birth. By the end of my pregnancy, most things were modified. I really miss pregnant burpees. I would not even attempt to hang on the rope so I would lie on the ground and climb the rope with my feet planted and just raise my upper body. I also had to go up in a band for dips and pull-ups because my body was just heavier for me to lift. Overhead Squats were done with basically no weight because of balance issues. I also stopped doing ab work for the most part. If we had a partner workout, I would only partner with my husband so that I wouldn’t ruin anyones workout.

This picture was taken at like 35 weeks so you can tell I still liked to have fun. I use to be a gymnast so I like doing things like this. I really listened to my body and slowed down and lowered my weight selection. I also would not do anything that I was not comfortable with. My coaches understood.
All in all, I am glad I worked out my whole pregnancy. It was easier for me to get back to working out after baby. Some people say you recover quicker but since this was my first pregnancy, I do not have any prior experience with that. Working out also gave me a place to keep my mind off of my anxieties. I slept better at night and felt great in the day. If I ever have another child, I plan on working out the whole pregnancy again as long as my doctor says I can.