When used in a vaporiser, essential oils in general are enjoyable and safe to use during pregnancy. If you are using them directly on the skin, it may be necessarily to dilute some with a carrier oil, or best avoided altogether.
As it can be confusing what essential oils are safe to use during pregnancy, I've comprised a list made from information from books and other reliable sources of which should be avoided.
Essential oils to avoid during pregnancy:
Jasmine (save this for late pregnancy a couple weeks before due date)
Essential oils that are safe during pregnancy:
Lavender (safe to use after 12 weeks)
Cypress (safe to use after 5 months)
Tea tree oil (to be used only during pregnancy, not labour)
Jasmine (only in the last 2 months of pregnancy, especially helpful during the time of labour)
Peppermint can be used, but sparingly (diluted in carrier oils etc) towards the end of your pregnancy as it can decrease breast milk production.
The benefits of the use of some essential oils during pregnancy are bountiful and can help relieve symptoms, calm the mind and help create that special atmosphere where you can connect with your baby.
From my personal experience, I love using essential oils during this time, and my personal favourite was using jasmine towards the end, I diluted it into a carrier oil and would rub it all over my belly, and to this day jasmine reminds me of that special time. It is just important to do your research first :-)
For a more in depth list of both the appropriate and not so appropriate essential oils to use during pregnancy, visit this page.
Some more information on why some essentials should be avoided during this precious time can be found here.