OK, qualified aromatherapist hat on: textbook standards line is you use a 1.25% essential oil to carrier oil ratio, this is half the rate for a normal person.
no essential oils in first trimester
manderin/tangerine, sandalwood lavender ok in 2nd and 3rd trimester
labour rose, jasmine, clary sage
breathing in/use in a burner you have a bit more flexibility
personal opinion, don't use any when pregnant unless it is for actually treating a condition, and pregnancy is not a condition.
Essential oils are natural chemical compounds, many are quite complicated chemical compounds, just because they are natural does not mean they are safe in all cases, and I think pregnancy is one of those times to be extremely cautious.
There is lots of scientific research that essential oils get into the blood stream through the skin. Transdermal absorption is a well known method of applying things - it's how HRT patches and nicotine patches work. So essential oils get into the blood stream, blood gets exchanged with the foetus across the placenta, foetus has developing organs, show me the research on how essential oils affect developing organs - there isn't a lot of information, to put it mildly.
There are enough chemical compounds the developing foetus has to deal with day to day without an MT adding to it with essential oils. Just the mother filling up with petrol is a big exposure to chemicals, the fresh paint in the nursery, the pesticides on the food. So many chemicals are encountered day to day that no-one is really going to be able to say "that essential oil causes this problem for a developing foetus" so you're safe from being sued, but I just don't think the foetus needs to be exposed to more chemical compounds, natural or not, unless it is required. Have a read of http://www.ewg.org/reports/bodyburden2/ for details on the general everyday toxicity encountered by a foetus.
Some essential oils will actually kill organ cells in an adult (eg juniper can kill off kidney tissue, clove can kill off liver tissue) Think about how widely known that is - think about the effects on developing organs.... (slightly off topic: think about some of the essential oils used in Young Living blends)
I will use ginger on really tight shoulders, I will use cypress on swollen feet, I will say "inhale peppermint or ginger essential oil for morning sickness if it works for you" but I won't stick any essential oil in a blend for pregnant women just to make it smell nice.
A baby's liver continues to develop for a while after it is born - I think it's about 6 months? - I don't think the baby should have any essential oils applied then either.