If I can't get to the forest, our neighborhood pool and the local movie theatre are my two top choices. I was pregnant during a heat wave in the summer of 2003 and couldn't stand it anymore. DH and I took the afternoon off and went to the movies. We watched three movies back to back.
BTW - I don't recommend something like Terminator 3 for pregnant women but my water broke during the big damn scene in X-Men 2. Might have had something to do with all the jalapeno smoothered natchos.