Healthy parents produce healthy babies and being fit is synonymous with being healthy.
If you are already an exercise person, keep up the routine as you will benefit tremendously. Regular exercise helps you get fit for conception and prepares you for the demands of pregnancy to come.
If you are not the exercise type, this is the time when you should try and develop some easy (but effective) routines for yourself like brisk walking, swimming etc. If you plan to join an exercise class, make sure your instructor knows you are trying to conceive.