Disclaimer: The following is my perspective and should not be considered 'medical advice'. If you have any questions you should absolutely call your doctor as he/she is a trained professional and I am merely a mama with an opinion...
Now, having said that:
Pregnant women are considered high priority for getting flu vaccines due to us having lowered immunity while pregnant. The CDC HIGHLY recommends that you get the vaccine. It must be the injected one though and not the 'FluMist' kind that is delivered via your nose. http://www.cdc.gov/flu/protect/vaccine/pregnant.htm. That one is not recommended while pregnant.
I have a personal preference for the flu vaccine that is 'thimerisol-free' (actually contains trace amounts of mercury but much less than standard vaccine). I'll be requesting it of my doctor's office because we cannot get it through the vaccination clinic here at work. There is ongoing dialog about whether exposure to thimerisol is harmful (after all, it contains mercury and that just seems not good to me) so I tend to err on the side of caution and avoid it whenever possible. The CDC stance is that it is safe but if there is a 'thimerisol-free' alternative then I will always go with that one. My doctor's office will also insist that the regular vaccine is 'just fine' and make me feel a little silly for asking for the other one but I'll just smile and insist on it anyway.
(I'm actually on the fence about whether I'll even be getting the vaccine at all. I understand that pregnant women are 9 times more at risk of being hospitalized due to flu-related complications...but really? I manage to get the darn flu every year even if I get the vaccine. It only covers so many strains and I usually run across one that isn't covered. I'm in good health and will use my head about taking care of myself and know that I can get anti-virals from the doctor if I actually get the flu.)
I did get the vaccine when I was pregnant with Jamie. Ironically enough, I also got the flu that year. My father-in-law was undergoing treatment for Lymphoma and it was requested that all family members in contact with him be vaccinated. I ended up accidentally getting the one WITH thimerisol. If I get the vaccine this year? I will be confirming the name of the manufacturer as that is a way to tell if it's the 'right' version so that I don't make the same mistake again. :-P
Sorry for the long explanation. While I am not at all 'anti-vaccine', I am cautious about what goes into my body and the bodies of my family. It seems like there are more diseases and syndromes out there every day and I can't help but think it has something to do with all the chemicals and icky stuff that we seem to be exposed to more and more as time goes on.
So...that's my two cents. :-)