Steady state/low to moderate intensity cardio is great at helping your bodys ability to deliver oxygen to your muscles. It always helps build up your aerobic base (becoming fitter).
High intensity can be done during pregnancy, but as mentioned before, only for those who are used to it pre-pregnancy. If you have a high intensity cardio workout in your program, slow the pace down, do fewer rounds and take longer rest periods.
Pregnancy should be viewed as a time to potentially maintain aerobic fitness levels, but not necessarily increase them - this is not a time to train for a marathon!