AFAIK there are no required vaccinations before travelling to India as long as you are not arriving from infected countries (for things like Yellow Fever - from the UK you'd be fine for those). However, the list of recommended vaccinations includes:
with others suggested depending on where you're going, how long you're going for and what you're likely to be doing while you're there - but if you're going to be staying somewhere fairly westernised (nice hotel, friends house) and doing the main touristy things they shouldn't be necessary. Note that some of those are recommended quite a way in front of a planned trip - if you are going you'd want to get them PDQ.
However, all parts of India are malarial and you would be advised to take prophylactic drugs. The antimalarials considered safest for pregnant women (chloroquine and proguanil) have been around longest and so there are areas of the world where malaria is resistant to these drugs - in those areas lariam tends to be prescribed instead (more effective but less research and nastier side effects reported). I don't know what the situation is around Delhi specifically - if this is the make or break question for you it would be worth calling a specialised travel clinic and finding out.
I don't think you'd need extra insurance as such, but you would want to check your policy carefully to ensure that you and your baby would be covered for any situation that might occur (did you see the thread where a mother's waters broke at 28 weeks while she was in the USA?). Decent healthcare is available in Delhi, but for a price.
There are risks in whatever we do in life. By choosing to go to Delhi you'd be accepting that some risks would be raised - not necessarily big risks to start with and quite possibly raised by only a very small fraction, but still raised. How you choose to interpret that change is going to be highly influenced by your personal approach to risk and your previous experiences.
If it were me I wouldn't go, but then I've been to the country a couple of times for work, don't like Indian food (although for what its worth I don't recall being horribly ill, so its not a foregone conclusion ;) ) and have had complications in a previous pregnancy, so would prefer to stay near a health system that I'm familiar with. But that's me and my decision...
Whether or not to go is a personal choice. Allegedly you're more likely to contract "Delhi belly" in Egypt than India - but wherever you are its not very nice and even less so while pregnant (although the baby should be OK, as long as you can keep yourself hydrated). A lot of pregnant women have taken antimalarials and been OK, but you need to decide whether the benefits of the trip outweigh the risks for you and your family.