Most effective bug sprays contain a chemical called diethyl-3-methyl benzamide (DEET). A certain amount is absorbed through the skin into your bloodstream, and it can make you seriously ill in large doses.
There haven't been any studies on first trimester exposure to DEET, but one study showed no adverse effects in women who used moderate amounts in the second and third trimesters. It has been shown to increase the risk for birth defects in chicks, but not in rats or rabbits. Er, okay have they tested it on chinchillas? What does it do to chinchillas?!
DEET does cross the placenta and deposits in small amounts in fetal tissue but, once again, there is no evidence that using it poses a health hazard to unborn babies or children who are breast-feeding.
Okay, so DEET sounds slightly creepy (like a guy in a track suit that watches kids at the splash pad) but what about the stuff it's protecting you from?
If you're in North America it's most likely West Nile Virus from mosquitoes and Lyme Disease from ticks that you're trying to avoid. They kinda think that both can result in an infection in your unborn child and/or medical problems in your newborn but they don't know for sure. Thanks science people. Bring me a chinchilla!
If you are in an area where Malaria is lurking, get some damn bug spray on yourself because it ain't pretty if you pick that crap up while you're pregnant.
As for the natural insect repellents, there are many remedies such as citronella oil, lavender oil and soybean oil but the general consensus is that they aren't as effective as bug sprays with 10% DEET in them. However, if you are one of the lucky people that these work on, go for it as they pose no harm to you or your baby.
A few companies have come out with a combination of Oil of Lemon eucalyptus (P-menthane 3, 8-diol) with a lower concentration of DEET and it may be a good compromise if you want less DEET but sufficient protection. Off Botanicals Lotion is one of the more mainstream products that has this combination and it sounds pretty promising judging from the reviews I've read.
To sum up, most sites still recommend you use bug spray during pregnancy to lower the risks that these insect borne illnesses pose.
Apply repellent sparingly on exposed skin and on top of clothing because more product doesn't mean more protection. If you plan to be outdoors for a short period of time, choose a product with a lower concentration of repellent and repeat application only if you need a longer protection time. And finally, wash treated skin with soap and water when you get inside.
If all else fails, don Hazmat suit with knee socks and do your best Darth Vader impression – bugs won't be the only thing you'll repel.