Very important to excersize during pregnancy, but if she is not used to it when not pregnant she would be advised to take classes specifically for pregnant women. There are loads of aquanatal classes around, and of course there is always walking.
The dangers are mainly due to softened ligaments due to the pregnancy hormone elastin, which can lead to back problems and a painful pelvis if you overdo it.
I wouldn't recommend rock climbing at 8and a half months though. I tried it, and found that my bump threw me off balance, and almost off the crag!