Personally, we chose to be married first. There are alot of people out there who rush into things, have an accidental baby.. I'd like my baby to know his mom & dad were married, and happy, and that he was very wanted and not an accident.
Aside from that, we are Christians, and to me morally it is the better decision - not saying its not the only "way" for everyone, but for us we felt like our relationships solidity was important before venturing into baby making. Going through trials and tribulations as a married couple, IMO is a little different than non-married, and adding a baby is even more a challenge. Not to mention, from a professional prospective, I've seen more relationships end when the couple moves in with eachother before marriage. Its important for me and my DH to give the baby everything we can as a couple, and the best way to do that is ensure our relationship is STRONG with no gaps in it. Before, I didn't completely see it this way, but now that I'm married and did not get pg before marriage, I am proud of it.
I know theres some who are married and unhappy, and vice versa. But this is just me