There are very few things that really need to be avoided early in pregnancy. For the most part women can continue to do all the normal activities they enjoyed prior to becoming pregnant. Obviously, drinking alcohol, smoking, or using drugs should not be done in pregnancy. Almost everything else is safe.
Exercise is not only safe but also recommended in pregnancy. Women who are physically fit typically have an easier time during pregnancy as well as delivery. If you exercised prior to becoming pregnant you can continue your normal routine. If you are just starting to exercise, start slow and gradually build up. This is the same advice I would give to non-pregnant women. You should be able to speak comfortably while exercising. If you are so out of breath that you cannot talk in complete sentences you may be working out too hard. Listen to your body; if something really hurts, stop doing it. Drink plenty of liquids while exercising; try to avoid dehydration. Once you start to “show” I recommend avoiding activities where you risk getting struck in the abdomen. Examples would be football or hockey.
Heavy lifting will not hurt your baby. It is easy to injure your back in pregnancy. So be careful not to injure yourself but you will not hurt the baby by lifting.
There are very few jobs that are not safe to continue in during pregnancy. Unless you have an extreme job like a skydiver instructor, work is safe to continue. There are conditions that my arise that would make work not appropriate, but for a low risk pregnancy work is fine. If you work around x-rays or chemicals be sure to use all the safety equipment that OSHA requires.
Sex is safe in pregnancy with some exceptions. Sex does not cause miscarriages but it can cause some bleeding. Your doctor will tell you if you develop a condition in your pregnancy in which sex is not safe. For the vast majority of pregnancies sex is safe all the way up to your delivery.
You and the baby are tougher then you might imagine. Don’t act like you are made out of china and fragile. Enjoy your life! With few exceptions, you can continue to participate in all your normal activities.