Boots do a range called 'Naked' which is quite free of nasties, and quite inexpensive - good for shampoo/conditioner/body moisturiser. Weleda is very good - I like the citrus deo.
Origins products are excellent, and low on chemicals - I love the facial scrubs and the white tea moisturiser with spf 25.
L'Occitane do a Mother and Baby balm, last ages and has about 2 things in the ingredients list! My DDs like to rub it into the bump - very sweet.
There is a new brand of nail polish called Butter which is good, if you feel the need!
Make up is trickier. Burts Bees do lovely lip balms / glosses.
My downfall this summer has been sun cream, not only hard to find chemical free, but so expensive, that if you are fair skinned like me, it's quite prohibitive. Do say if you've managed to find a reasonably priced mineral sunscreen!
I think it's just a personal choice to be a bit less 'chemical' in pregnancy - for me just because I've had to take quite a lot of meds to get me through hyperemisis!
HTH