I was on fluoxetine 20mg/day when I found out I was preg. In my case, by that stage the original bout of depression had passed and I was feeling better, but had seen no reason to stop taking them as I was having no adverse effects and didn't want the depression to come back. When I saw my GP the day after finding out, I asked him if I should take them or not. He said it was a cost-benefit decision. There is some evidence that SSRIs cross the placenta but noone is really sure what the effect on the baby is, and I think lots of people have taken them with no obvious ill effect. So, if someone can do without them, it may be better to come off them BUT only under the strict supervision and advice of a GP. If, however, coming off them is likely to make you suicidal or severely depressed then of course it is more harmful for you and baby. Depression during pregnancy is just as common as post-natal depression and us with a history of depression may be more at risk.
I came off them and I personally was fine, but I was feeling better anyway and a lot of the issues that were causing the depression had been resolved by that stage. There is no way that I could have stopped them when I was going through the height of my depression.
Be warned, even after you come off them be prepared to be asked at every single appointment with midwife etc. about how you're feeling! My depression happened before I met my current DP and it was a good job I had told him about it because the first appointment I took him to it was discussed in front of him. Also when I went for my 20 week scan,his mum came with us and the Dr wanted to see me - it was a good job I asked her not to come in with me for that bit as it was all about my depression! Of course then she worried and my boyf had to give her some story and reassure her that everything was fine! I guess it's good that they keep an eye on you but you do feel a bit "labelled" as a nutjob! I've had calls from the local mental health team and everything.
PLEASE DO NOT DO ANYTHING BEFORE YOU SEE YOUR DOCTOR THOUGH! He will give you proper advice on how to go about stopping/cutting down if that's what you decide. A few days on the regular dose won't hurt - just think of all the things we get up to after we conceive but before we find out? I was eating blue cheese and everything!