I found sleeping on my side to be the most comfortable, especially late in my pregnancy. I made a pillow fort and took up most of the bed (poor hubby had no room!) and I basically stuffed a skinny pillow in behind my back for support, a fat pillow between my knees and another skinny pilloe under my belly and I lay on my side. I found that when I was on my back, especially during my third trimester that I would feel very dizzy, short of breath and my back would hurt. I was advised by a physio and my yoga teacher to try to avoid sleeping flat on my back after about 15 weeks (and to really make an effort not to after 30 weeks), but that it was ok to sleep on my back if I was in a reclined position. They both said it was to do with how your babys weight can put too much pressure on a particular blood vessel or vein or something (sorry cant remember now) and this can make you feel light-headed and ill.