Pelvic floor exercises (or Kegels) are one of those exercises that many people struggle to find the motivation to do regularly, and yet they are so important.
The exercises are designed to tone the pelvic floor muscles, which in turn reduces bladder weakness, and can improve sexual satisfaction.
Doing these exercises in pregnancy also helps childbirth in two different ways. Strong pelvic floor muscles help with proper positioning of the baby for an easier birth, while familiarity with the muscles is beneficial when it comes time to relax them to allow easy passage of the baby down the birth path.
This article by Birth Boot Camp has great information on how, why, when, and when not to do the exercises. Note the emphasis on doing squats as an additional support to the pelvic floor.