I got the flu shot when I was pregnant and had to be admitted to the hospital for complications at 16 weeks. Reasons: 1. All the people traipsing in and out of my room that could have been exposed to the flu and 2. The increased chance of complications in pregnant women who come down with the flu.
You have a reduced immune system when you are pregnant-this is what allows you to carry a baby instead of rejecting it. Which makes you more susceptible to infections such as the flu, as well as nasty secondary infections that ride the coat tails of flu such as pneumonia.
You also have a greater supply of blood to your lungs during pregnancy which allows for fluids and congestion to build up. You also have reduced lung capacity because all of your guts are squished up out of the way to make room for your baby. Which means easier to catch respiratory infections, harder to breathe and harder to get over illnesses.
Now...if I had been able to ride out the remainder of my pregnancy at home, I would have skipped the shot because I preferred minimal medication...but the fact that I HAD to be exposed to so many people during flu season tipped the scale for me in my decision. For me personally, the benefits of the shot outweighed the risk of catching the flu. I have no adverse reactions to report as a result of getting the shot.