Oils to avoid during pregnancy:

Anise
Bay
Basil
Camphor
Caraway
Carrot
Cedarwood
Cinnamon
Clary Sage
Clove
Comfrey
Cypress
Fennel
Hyssop
Jasmine
Juniper
Marjoram
Mugwort
Myrrh
Nutmeg
Oregano
Pennyroyal
Peppermint
Rosemary
Sage
Sassafras
Tansy
Thuja
Thyme
Wintergreen
Wormwood
Yarrow

Oils to avoid in first trimester: Chamomile, Frankincense, Geranium, Melissa, Rose


I can't link it, but you can find some more info on Earth Family.
Also, grab a copy of The Fragrant Pharmacy and The Fragrant Mind, she has some fabulous recipes and tips for safe use during pregnancy, labour, and post-natal use too.