Seen a lot of people ask this question and I found this in the Health section of the Ninemsn website in regards to commonly held taboo's, the article is called "What's Good For You: Pregnancy do's and don'ts":

"Taboo number eight: you can't dye your hair

This one's been doing the rounds for a while, that dying your hair can harm your baby. You'll be glad to know this one is false.

During a dying session, very little chemical is used, and it's certainly not enough to cause problems if it's absorbed by your skin.

Rest assured, if you can't live without your 'do' — you don't have to."