You may want to take an all-round supplement for pregnancy - ask your obstetrician for a recommendation.
Alternatively, you may want to take only the most important supplements, which are as follows:
Folic acid - A form of vitamin B9, folic acid is the most important pregnancy supplement. Its use has been shown to reduce the risk of babies developing neural tube defects (deformities of the spinal cord and brain) by up to 70 percent. You should preferably take 0.6-0.8 mg of folic acid daily from one month prior to conception until the end of the first trimester. If your pregnancy was unplanned, start taking folic acid as soon as possible. Chances are your baby will be fine, but in any case, screening for neural tube defects is a standard part of obstetric care.
Calcium - A woman's need for calcium does not increase during pregnancy (instead, her body absorbs more calcium from the food she eats). However, it is vital that you get enough calcium at this time, as otherwise your body will take calcium from your bones to give to your baby. The recommended daily intake is 1,000 mg - how much you take in supplement form will depend on how much you get from your food. The body can only absorb around 600 mg of calcium at a time though, so if you need more than 600 mg, take your supplement twice a day.
DHA (docosahexaenoic acid) - An omega-3 essential fatty acid, DHA has been shown to produce a number of beneficial effects - in mothers as well as babies. High DHA levels in pregnancy (particularly in the third trimester) are associated with increased attention span and higher intelligence in children at age one and four respectively. DHA supplementation is also linked with longer pregnancies (which benefit babies), while significantly low levels of DHA have been found in women suffering from postpartum depression.
Iron - Some doctors recommend that all pregnant women take iron. Others only recommend it when the mother is suffering from anemia (which is more common during pregnancy than at other times). Speak to your doctor about whether you should take iron supplements. If you do decide to take them, you may be more prone to constipation (which is in any case more common during pregnancy), and so will need to increase your fiber intake. If you decide not to take iron, then look out for signs of anemia starting from the second trimester. Symptoms include dizziness, exhaustion, pale skin, labored breathing, and heart palpitations.