Running is actually very good for pregnant women. It can help ease delivery and encourage the flow of blood, oxygen and nutrients to the developing fetus.
Almost all women can run up until the third trimester, and many can run through it. However, women shouldn't try to increase their mileage or speed while pregnant, as a woman's body is already under a good deal of stress during this time.
Of course, since every woman is different, it's always a good idea to consult your doctor before making a decision.