If you go to A&E they will ask you to see the crisis team, it can be a long wait to see them but at least in A&E you are safe. Take magazines and snacks.
This next bit applies to whether you go to your GP or A&E.
They will assess you, usually involves questions about your current circumstances (housing, financial, family support), then questions about your current state of mind. Some of these might feel a little awkward or even silly. I never tire of being asked if I hear voices - they have to ask though. You must be honest about your risk - as in be very specific about your plans. There is a huge difference between 'I am thinking of killing myself' and 'I have a stash of paracetamol at home and I popped into A&E on my way to Asda to buy the booze to wash it down with.'
Crying is ok - they expect it!!
If you go to A&E the crisis team will sit with you and support you, they will probably help you formulate a plan to get through that night (so go and stay with a friend, watch a film etc) quite practical stuff. Might seem silly but their goal will be to keep you safe there and then. They can also offer phone support, or sometimes they arrange a visit at home later that evening. They can also contact your GP to say they have seen you, and they can ask for a mental health assessment to be done by the community team.
Your GP may prescribe you something to help, refer you to the community mental health team or the crisis team.
Going into hospital is a very last resort. I am in one at the moment, it is not as bad as you think. My behaviour was very risky when I was admitted and I was ready to come in (if that makes sense?) they put huge amounts of energy into keeping you at home, especially if you are not psychotic or manic.
This is long but I hope it helps! Things may well be a bit different because you are pregnant but it will probably mean more help and sooner than anything else!
Take care. And seriously hold on to the fact that you are still here.