I'm going to pipe up and agree with what pretty much everyone else has said.
I've been dyeing my hair chronically since I was around 13, and I'm pretty sure I dyed it once or twice before I found out I was expecting my first.
Once I was aware that I was expecting, I held off until I was past the 12-week mark as suggested by various books and websites, and after that tried to cut down and do it only when the pale regrowth (I'm naturally sandy blonde and dye my hair jet-black) was driving me mad, or just before special occasions when I knew I wanted to look good (eg a friend's wedding four weeks before I was due).
I did, however, stop bleaching my fringe and putting fluorescent colours through it... not because I was worried about the coloured dye, but because the fumes from the bleach I use had me convinced I'd be doing bub damage. So I went all-black for a few months and bub was absolutely fine.