Last pregnancy I got a long sausage pillow - £10 from aldi in their bargain "aisles of shite" as DH calls them. That did me until 32 weeks when I was just so uncomfy I caved and spent £40 on a dream genii. It did help make the last month bearable and got plenty of use after as a nursing pillow. Must dig them out actually as my sleep is starting to go to pot. Once I'm asleep I'm fine its just taking me ages to drop off.
Am dreading the third trimester when your uterus drops back down on your bladder - I needed to wee every couple of hours last time! From that point on I definitely got better sleep AFTER J was born. Nature's cruel - giving months of sleep deprivation BEFORE the birth. I do remember how fab that first night's sleep after birth was, (even with hyperinflated boobs and the horrible night sweats to lose the fluid, up every three hours to feed) sprawling on my belly, zonked but happy after labour, watching J in his crib, not believing he was here!