In sitcoms, the classic faux pas of the aerobics class would be the person who doesn't know how to follow a routine, followed by the person whose pants split down the back, followed by the person who does a really loud fart. No observer of culture would disagree with those: they are your Blankety-Blank cliches. They never happen.
The true faux pas is being singled out for anything at all by the instructor, who knows that it's a faux pas, so would never dream of doing this frivolously. They would never comment upon the suitability of your footwear, for instance, unless you had actually turned up in flip-flops. Ergo, you will only be singled out when the instructor does the obligatory "Does anybody ... ?", and you say "Yes! Me!" And unless you go to yoga, where they ask you about your periods - and I don't even know where to start with the social death incurred there - the questions will be "Any injuries? Any pregnancies now or in the past three months?"
Now, the first is easy. Unless you are on crutches, you deny all injury. If you say "I have injured my knee", him or her in the bodystocking will say "Try to avoid the exercises involving that knee."
With pregnancy, they will tell you these things - don't get too hot; make sure you have plenty to drink; make sure you have a snack handy; don't do anything that feels really wrong; stop if you feel faint; don't do high- impact aerobics; don't do abdominal exercises that necessitate lying on your back. You see how fast I did that? It will take them about 20 minutes, and the rest of the class will look really bored, and they'll all give you dirty looks, and you'll wish you were dead. "Why isn't she in maternity spin?" their faces will say.
So what you want to determine is how many of those rules are real rules, and how many of them can be filed under "stupid, put-your-feet-up advice, dating from when there was a war on". Warnings about overheating are valid - there is evidence to suggest that overheating in the first trimester (through using saunas, as well by exercising) increases the risk of neural-tube defects in the foetus, causing, for instance, spina bifida. And in the second and third trimesters, studies on animals have associated overheating with low birth weight. How do you tell if you're potentially dangerously hot? Two ways: keep your aerobic exercise to a 45-minute maximum, and do a "talk test"; if you cannot speak without gasping for breath, you are exercising too hard. How you do this without looking peculiar, I cannot yet tell you.
Drinking plenty of water will, unsurprisingly, help keep your core temperature down, and avoid dehydration, which affects your efficiency adversely and may make you faint (you can't dehydrate your foetus, though, or at least not in a spin class). The snack advice is just to prevent fainting. "Feeling really wrong" is a catch-all concept to cover the fact that you vom more readily, and are more likely than a non-pregnant person to go into labour. This is all common sense, and you definitely don't need to inconvenience your classmates to be told these amazingly obvious things.
Exercise undertaken in the supine position is a minefield. First, you have reduced cardiac output throughout your pregnancy, and lying on your back reduces it further, as does the exercise itself, during which oxygen will be preferentially distributed away from the uterus. This is not a good thing. Plus, later on, if you lie flat on your back, the weight of the uterus can compress the inferior vena cava, which carries blood from your lower body back to your heart. This can make you feel faint: I know someone who actually did pass out from this the other day.
One third of pregnant women will find that their abdominal muscles separate, in which case you have to desist from exercising any muscles in that area. Jogging and other high-impact aerobic moves (like, say, a really energetic grapevine) can cause lordosis (an abnormal forward curvature of the spine in the region) which makes your behind stick out, hence its nickname Pride of Pregnancy. It can also give you backache.
Returning to protocol: in an ideal world you could say you were pregnant once, they would tell you it all once, and you could continue as normal. Unfortunately, aerobics teachers, like ticket inspectors, see 30 times more yous than you see of thems, so they never recognise you and you have to tell them every time.
Realising this, I didn't say anything at all to the female spin instructor until I was so, erm, pronounced, that I got wedged between two of the exercise bikes on my way out. Like an earwig. Reasonably enough, she said "Why didn't you say anything earlier?" and I said "I did! Months ago!" which I suspect she knows isn't true, and now whenever I go, she makes an enormous great fuss and diverts the fan right on to me, and everybody hates me, so I've had to stop going. This dearth of exercise over the next three months will lead to increased breathlessness and weight gain, will amplify the likelihood of a difficult labour and lengthen my recovery. And all for the want of a bit of social eptitude.