We consider continuously monitored quantum systems and introduce definitions of work and heat along individual quantum trajectories that are valid for coherent superpositions of energy eigenstates. We use these quantities to extend the first and second laws of stochastic thermodynamics to the quantum domain. We illustrate our results with the case of a weakly measured driven two-level system and show how to distinguish between quantum work and heat contributions. We finally employ quantum feedback control to suppress detector backaction and determine the work statistics.