I never had a flu shot w/ my first two pregnancies, but my work was offering them at no cost, so I asked the doctor and he said I should do it.
I guess, given everything else our pregnant bodies are going through in trying to grow healthy babies, fighting off the flu shouldn't be on the list. I went ahead and got it - so far, so good (i was worried i'd get sick from it). It may not defend you from every single strain on the planet, but if it helps you with, say, 10-20% or more, I think that's worth it.
I think the odds are better that the damage done to your baby in utero if you have a super high flu-induced fever is greater than their risk as a child being exposed to the flu. That's my take on it anyway.