I'm pregnant now, and apart from Folic Acid I have not been taking any extra vits - I don't see there is a need to and neither does my GP! I exercise regularly and eat healthily so I don't see how I am lacking in anything.
Prior to being pregnant I exercised even more (at least 3 sessions per week) and ate healthily, and I never took any multivit's then either. unless you are lacking in something, or your GP feels it would benefit you to take something then I wouldn't bother, my personal opinion is that they are an expensive waste of money when the vits and mins can be obtained through eating a healthy diet.