One Danish study indicates that running might not be a good idea. Here's a BBC article reporting on the study:
http://news.bbc.co.uk/2/hi/health/7014828.stm
excerpt: "Strenuous exercise early in pregnancy could triple the risk of miscarriage, according to Danish researchers. The research found jogging, ball games and racket sports all increased the risk - as did more than seven hours of exercise a week."
Of course, the standard advice is to ask your doctor. Personally speaking, I would augment a physician's opinion by doing my own research. There are other ways to stay fit during pregnancy, and I'd be very cautious about bouncing a baby around, overheating, etc.