I asked this same question when I found out I was pregnant.
I still use many of Cathe's DVDs, I just keep them low impact now. Also, I just use the platform of my step and no risers, and I lift much lighter than before pregnancy (I put STS aside after pregnancy week 7). As others said, just modify and do what feels right to your body and fitness level. Now at the beginning of my third trimester, I typically do just 30-40 minutes of Cathe cardio at one time, and I stop if I get out of breath or get a cramp. This weekend, I did the low-impact timesaver Kick Max premix and it was perfect.
The only DVDs I have stopped doing until after pregnancy (because to me, modifying them would be no fun) are Boot Camp, Muscle Endurance, High Step Challenge, Maximum Intensity Cardio, and Slow and Heavy. Other DVDs like Imax 3, for example, have premixes that work for me (I would never attempt the blasts in my pregnancy state
). The Imax 3 premix of just the step portions is a good pregnancy workout for me using just the platform. Oh, and I find Super Sets, Push Pull, and the Pure Strength series when modified to be the perfect length of strength workouts for me.
Finally, I stopped doing abs/crunches although I read somewhere that you could still do crunches on a stability ball (that doesn't feel right to me though), and after the first trimester, I avoided exercises flat on my back. For example, I still do chest presses but use a tilted bench or stability ball so I'm not flat.
Have a great day,
Dawn