Insure.com has a good article explaining your basic insurance options when pregnant, including changes with "HIPAA", COBRA options and when pregnancy can and cannot be a pre-existing condition.

Another thing to keep in mind, is don't forget to put the baby on your health insurance! Human resource employees say this is a common oversight... in particular with the dads. This usually has to be done within 30 days or you have to wait for open enrollment.