US really recommends one for pregnant women.
I had one at about 24 weeks or so with my daughter, and I just had one Monday at 10 weeks this time. I feel like it's a good thing for me, especially since my father is immunocompromised (he had a kidney transplant almost 14 years ago) and could still get the flu even after he's gotten the vaccine.
I know what you mean about being connecting a shot with a MC. I had to get a TB test for work the day after I found out I was pregnant the first time around. My doctor said it was fine, but I know some OBs say you shouldn't and the nurse gave me a hard time about it and almost didn't give it to me because I didn't have a note from my OB. I ended up MC the next week. I know that it shouldn't have been related at all, but it still just kind of sticks in my mind. I have to get one again this time (I should have one now, but they don't have any appointments for one until December, so I'm gladly putting it off), and it still kind of makes me nervous.