The government's Advisory Committee on Immunization Practices (ACIP) says you should definitely go in for the flu shot. Being pregnant, you are at high risk for flu complications (like pneumonia), so getting the immunization is especially important.
Need convincing? Here's what the Centers for Disease Control and Prevention site has to say:
"A study of influenza vaccination examining over 2,000 pregnant women demonstrated no adverse fetal effects associated with influenza vaccine. Case reports and limited studies indicate that pregnancy can increase the risk for serious medical complications of influenza. One study found that out of every 10,000 women in their third trimester of pregnancy during an average flu season, 25 will be hospitalized for flu-related complications.
Additionally, influenza-associated excess deaths among pregnant women have been documented during influenza pandemics. Because pregnant women are at increased risk for influenza-related complications and because a substantial safety margin has been incorporated into the health guidance values for organic mercury exposure, the benefits of influenza vaccine with reduced or standard thimerosal (the preservative that contains ethylmercury) content outweighs the theoretical risk, if any, of thimerosal."
To play it safe, ask your doctor or check out that CDC site to find which shots are thimerosal-free.