The following lists are taken from the Environmental Working Group’s recommendations:
(please note that many other sites and lists advise that tuna is safe for pregnant women to eat - think hard about this, try the tuna calculator for more info)
What if you don’t want to eat fish?  Walnuts and flaxseeds are two of the very best sources of Omega 3 fats essential for your baby’s good brain development.

Avoid If Pregnant

How many servings of tuna should you eat?

Use the EWG Tuna Calculator to find out.
Shark
Swordfish
King mackerel
Tilefish
Tuna steaks
Canned tuna
Sea bass
Gulf Coast Oysters
Marlin
Halibut
Pike
Walleye
White croaker
Largemouth bass

Eat No More Than One Serving From This List Per Month

Mahi mahi
Blue mussel
Eastern oyster
Cod
Pollock
Great Lakes salmon
Gulf Coast blue crab
Channel catfish (wild)
Lake whitefish

Lowest In Mercury

Blue crab (mid-Atlantic)
Croaker
Fish Sticks
Flounder (summer)
Haddock
Trout (farmed)
Salmon (wild Pacific)
Shrimp *
* Shrimp fishing and farming practices have raised serious environmental concerns.
** Farmed catfish have low mercury levels but may contain PCBs in amounts of concern for pregnant women.