You're ok generally but some hairdressers are reluctant to do it in the first/last few weeks/months of pregnancy, you need to ask around really to get their opinion on it. As someone already said, it's a much better idea to have foils rather than a full dye (I had that done during my pregnancy and it was fine). The only thing you may notice, is that the colour doesn't turn out how you expected because of the pregnancy hormones I believe.