It's such a tricky one as it's hard to weigh up the risks and potential benefits as there are so many wildly differing opinions.
When I was pregnant this time last year, I looked at my risk factors. I was pregnant, had a preschooler in childcare, I commuted to work using train/tube, worked in an office, am asthmatic - all things that made me quite likely to catch flu and put me in the higher risk category if I did.
I asked for advice - one GP said not to do it, another said I definitely should (even though he hates prescribing anything more than paracetamol to PG women). A friend works in immunology / virology (as an academic, not for a company) and she and her boss urged me to get vaccinated.
The risks seemed to be - the 'unknown' factor of any adverse effects on the unborn baby. Scary stuff, I know.
It was a hard decision, but I went for it in the end - didn't get flu and DS was born with no obvious effects. A friend in a similar situation (although not asthmatic) decided not to get vaccinated - she didn't get flu and the baby was fine too.
But of course these are anecdotes. We need some proper science!
Good luck with your decision. As ANTagony says, you have to consider the risks of not vaccinating as well as the risks to having it.