There are two manufacturers of the swine flu vaccine - One is Glaxo Smith Klein - this one contains something called an adjuvant which boosts the reaction of your immune system to help with the vaccine. The other is Baxter which is more traditional and does not.
There's no particular cause for concern about this but as an extra precaution I think the advise is for pregnant women to be given the Baxter one.
Pregnant women were not in the trials but that is normal, they never are and the system for running flu vaccines runs every year and is pretty tried and tested.
You have to balance this along with the risk of complications of getting swine flu while pregnant.
Heres some FAQs
http://news.bbc.co.uk/1/hi/health/8200504.stm
If I were you I'd go for it but I'd probably make sure it was the Baxter one and not the GSK to be on the safe side