I just found this on babycenter.com -
Ann Linden, certified nurse-midwife
The limited evidence that's available suggests that it's probably safe to dye your hair during pregnancy. The Organization of Teratology Information Services (OTIS), which provides information on potential reproductive risks, says that animal studies are reassuring and that there are no reports of hair dye causing changes in human pregnancies, despite the fact that many women have colored their hair during pregnancy. What's more, OTIS points out that very little of the chemicals in hair dye are actually absorbed into your system.
That said, if you're still concerned, consider waiting to color your hair until the second trimester, when your developing baby is less vulnerable. Also, rather than using an all-over hair color, consider a process like streaking, highlighting, painting, or frosting, in which the chemicals have little or no contact with your scalp. (Any hair-coloring agents absorbed into your system would come through your skin, not through your hair shaft.)
You may have heard that vegetable dyes are a good alternative if you want to avoid using synthetic chemical agents during pregnancy. But buyer beware: I looked at all of the so-called natural and herbal preparations at my local health food store. In addition to the various "natural" substances listed as ingredients, all of the dyes I saw had one or more of the very same synthetic chemical compounds (such as p-phenylenediamine, dihydroxybenzene, and aminophenol) that the major cosmetic companies put in their permanent and semipermanent dyes.
Pure henna (Lawsonia inermis) a semipermanent vegetable dye that's been used for thousands of years is considered safe, but it's quite messy to use, needs to be left on for a relatively long time, and imparts a red-orange hue that you may not like. (Note that henna products that come in other colors or are fast-acting are not pure henna and may contain synthetic chemicals or potentially risky metallic compounds.)
I certainly think it's important for women to feel good about themselves during pregnancy. Whether coloring your hair will make you feel good or cause you to worry needlessly for nine months is something to think about. If you do choose to color your own hair, wear gloves and work in a well-ventilated space to minimize your exposure to the chemicals used in the coloring process. Don't leave the dye on any longer than necessary, and thoroughly rinse your scalp at the end of the process.