I went to Seattle Holistic Center my entire pregnancy and found yoga the best way to help me through the aches and pains of pregnancy. It felt so good I was motivated to continue some of the positions and stretches at home on off days (I always slept better after stretching). It is not a tremendous workout, but a good supplement to additional cardiovascular exercise.
The other big pro is being is a class full of pregnant women. As you look around the room you are reminded of where you were just weeks earlier and can look forward to the next stage. Also, there are endless "tips", that you can't find in any book, for all the pregnancy ailments. For example, if you have trouble urinating try holding up your belly.
Just one warning... If you are not doing the homebirth / midwife thing be prepared to feel judged (god forbid you are having a scheduled C-section). The instructors (Collette in particular) are not very open-minded to the many ways one can bring a child into this world (or your personal choice in the matter). Nothing that a little thick skin won't protect you from.