The first one, and my favorite, is Pelvic Rocks, also called Pelvic Tilts, or if you're into yoga, I think it's similar to the cat pose (I don't do yoga, so I may be wrong about that.)
To do this exercise, get down on hands and knees, with your hands shoulder width apart, and your knees should be hip width apart. Slowly, while breathing in, move your hips down, rounding your back and tucking your bottom under. Breathe out while bringing your body back to a relaxed position. There's no need to do this exercise quickly; take it nice and easy. Do them as often as you like, the more the better. It strengthens your abdominal muscles and relieves back pain. It helps the baby maintain a head down position.
It relieves back pain really well, absolutely making it my favorite exercise. I do it every time my back hurts, as well as several times throughout the day. It's also a good one to try during labor to help ease some of the pains of labor.

Squats. Squats are very important to do during pregnancy, so that your muscles are strengthened and stretched for labor. The more you squat, the easier it will be to squat during labor. Squats strengthen your thighs, and stretch your pelvic area so it's nice and open.
While taking Bradley Classes during my pregnancy with my son, my teacher helped me remember to squat by telling me that "knees have hinges, backs don't." Bending over with your back is bad in general, pregnant or not. Every time you need to pick something up off the floor, squat to get it. I also change my son's diaper while squatting, and sometimes I brush my teeth while squatting. I try to spend a good 30 minutes a day in a squatting position.
When you get to the point in your pregnancy that your belly makes it hard to get up from a squat, put your hands on your knees, stick your bottom in the air, and slowly stand up like that.

Kegels are a vital exercise during pregnancy, the more you do, the better. If you're not sure where your kegel muscle is, go pee and stop midstream. The muscle you used to stop is your kegel. To exercise it, tighten up your muscles just like if you were trying to stop peeing, hold for 5 seconds, and release. You should get into the habit of doing these all throughout the day. I do them when I'm washing dishes, when I'm crocheting, while sitting at red lights, while I'm squatting, stuff like that. It helps me to remember if I associate them with something.
Once you've been doing them for a while, you can start doing more advanced exercises. Start holding them for ten seconds. Or do a 3 step kegel: tighten a little and hold for 3-5 seconds, tighten again and hold, and tighten the rest of the way and hold. Then slowly release.
Kegels strengthen your pelvic floor muscles. If you want a healthy uterus, you need a strong kegel. Your pelvic floor is what hold your uterus up. Having a strong kegel makes birthing your baby easier. It also helps with bladder control problems. Do you trickle when you sneeze, cough, or laugh? You need to do kegels!
Having a strong kegel muscle also makes "baby-making" more enjoyable, and keeps it from being painful.

Tailor Sitting. This is a sitting position that helps open up your pelvis, helps you stretch, helps your posture, and eases tension in your back, and increases blood circulation.
It can be done sitting with the soles of your feet touching each other, or in a criss-cross position, with your knees touching the floor.
This position is a great alternative to sitting with your legs crossed in a chair (which is not a healthy position for anyone to sit in, especially pregnant women.) I've found that sitting in this position also helps sometimes when the baby's in my ribcage and making me very uncomfortable.

Walking/swimming. You need to do some sort of daily workout. Walking and swimming are the safest things for a pregnant woman. They're easy on your body, while still giving you a work out and improving your circulation. A lot of women have said that the more they walked during pregnancy, the easier their labor was.
Make sure to wear good shoes when walking, and avoid uneven terrain, especially later in pregnancy, since your balance isn't as good as normal.
It's important not to start doing anything strenuous during pregnancy. If you were an avid jogger before pregnancy, then it should still be okay once you're pregnant, but if you didn't do it regularly, don't start once you're pregnant. This goes for anything. If you didn't do any sort of exercise before getting pregnant, you'll definitely want to stick with walking or swimming.
I find that both are great pain and tension relievers. If I have a bad backache, I love to walk or go to the creek and swim. The water makes you weightless, making it wonderful for late pregnancy when you're feeling heavy and huge.

Those are, in my opinion, the top 5 most important exercises to do during pregnancy. They will all help make your labor easier, and make everything work better.