There have been mixed feelings about whether or not pregnancy is a contraindication to massage. I can tell you that most establishments will not accept you as a client until you have reached your 2nd trimester. This is for liability concerns due to the fact that the first trimester of pregnancy is the riskiest in terms of miscarriage. Massage has a lot of effects on your body including the flushing of toxins, raising of your core temperature, as well as it's effect on your immune system. For these reasons, though there have been no conclusive studies showing that massage can have any impact on increasing your likelihood to miscarriage, most establishments will still not accept you until you have entered your 12th week. Not only that but because of sensitivity issues, receiving a massage in your 1st trimester may actually leave you feeling nauseated and exhausted.
In 2nd and 3rd trimesters the concern surrounding massage is relatively low. Specialty "Pregnancy Massages" are offered that take certain basic precautions to provide a comfortable massage for the expectant mother. This usually involves pillows or bolsters to provide a side-lying massage and omitting any added heat (i.e.: hot stones or table warmers) or aromatherapy which may adversely affect the expectant mother. Deep Tissue work is not advised. Therapists are also careful not to overstimulate certain "pressure points" which have been rumored to enduce labor. Again, there has been no conclusive data to show these pressure points are of any real concern though it is advised not to use excessive heat and/or sustained pressure over these specific points.
It should also be mentioned for those who come in for post-pregnancy massages, mothers who are breast-feeding should pump and discard their first feeding due to the metabolic waste released into the system during a massage.