We all know that pregnancy places a huge strain on the body, but it isn't until you actually experience it that you can really appreciate this. It is truly amazing what the body is doing - creating a new life. Everything in the mother is diverted and devoted to growing this new life, so unless you take care of yourself and give yourself a little extra attention then you could potentially become depleted and not be at your optimal. It is important that you eat the best foods that you can in pregnancy for you and your baby.
To start with don't be afraid of fats, getting optimal levels of healthy fats from foods like flaxseed's, avocados, coconut, olive oil, nuts, seeds and low-mercury oily fish is vital for you and your baby. At the same time lowering levels of unhelpful inflammatory fats, found in foods such as processed biscuits, cakes, crisps, margarine and vegetable oils. Cook with healthy fats like coconut oil which has a high smoke point or use virgin olive oil but carefully as it has a lower heating point. Preferably buy raw unheated nut and seed oils in dark glass bottles and only use them as drizzles over salad or stirfry. Heated vegetable oils like sunflower and corn oil are highly refined, bleached, deodorised and rancid, this creates a toxic chemical compound which has been linked to alzheimer's, gastric damage, heart disease and inflammation and so are not oils we should cook with. 
Our western diets tend to be low in Omega 3 fats and high in Omega 6, although omega 6 is important dominance should be towards omega 3 fats. During pregnancy our need for omega 3 increases "to support foetal growth, particularly of the brain and eyes...The richest sources of these omega-3 fatty acids are marine sources, such as seafood and fish oil supplements...Seafood (however) can also contain organic mercury and other harmful toxins (eg, PCBs), which could be harmful to the growing foetus" . For this reason, eating fish is important but the NHS recommends limiting fish consumption to no more than twice a week. If you are unable, to get enough good quality preferably wild oily fish you can also supplement by taking an extra dose of a good quality omega 3. If you are vegetarian/vegan I would suggest taking an Algae oil which will give you EPA/DHA at similar levels to fish oils. Although plant seed oils are great sources of omega 3 the body still needs to convert them into EPA/DHA to be bio-available for the body. "As the omega-3 fatty acid DHA is a prominent component of neuronal membranes, and as the human body is inefficient in synthesizing DHA, we are reliant on dietary DHA" 
As we mentioned earlier a mothers body will devote everything to the developing baby; "women's bodies will preferentially divert DHA to the baby, and the baby will take the DHA it needs from maternal stores. With each subsequent pregnancy, mothers are further depleted"  This is why it is important to constantly replenish our omega 3 prior to, during and after pregnancy.
Omega 3 oils could potentially be beneficial for the much talked of 'pregnancy brain' (forgetfulness) and mood swings. "Dietary deficiency of omega-3 fatty acids in humans has been associated with increased risk of several mental disorders, including attention-deficit disorder, dementia, depression, bipolar disorder and schizophrenia."  DHA and EPA have been shown in some studies to help in the prevention of post-partum depression and resistance to stress, vital for pregnancy and new mothers. 
Research has also shown that "omega-3 fatty acid consumption during pregnancy either in the diet or via supplements is associated with improved neurodevelopmental outcomes in the child. Investigators have used a variety of tests, such as general developmental milestones, problem solving, and language development, to assess neurodevelopmental outcomes among infants whose mothers were supplemented with fish oil compared with those who were not."  Further studies have indicated that higher levels of omega 3 in the mothers diet can also account for higher IQ, better concentration, learning, reading and writing in later childhood. 
Studies also pointed to fish oil supplementation taken during pregnancy and lactation resulting in a decreased risk of infant allergies  and improving infant immunity 
Finally, it was noted that infants of mothers with higher levels of DHA had a more mature central nervous system which resulted in more periods of quiet sleep. 
If you decide to supplement with fish oil in pregnancy avoid cod liver oil as it has high levels of Vitamin A which can be harmful to the baby. Companies I like are Wild Nutrition, Nordic Naturals, Nutri Advanced and Viridian. When buying supplements check the quality of the products, often companies produce supplements which contain a lot of binders and fillers that the body doesn't need and needs to work hard to dispose of.
To summarise increasing Omega 3 in your diet may:
 Joanna Blythman, 2015, Swallow this, Fourth Estate Publishing.
 Coletta, Jaclyn M, Stacey J Bell, and Ashley S Roman. “Omega-3 Fatty Acids and Pregnancy.” Reviews in Obstetrics and Gynecology (2010). http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3046737/
 Kendall-Tackett, A new paradigm for depression in new mothers: the central role of inflammation and how breastfeeding and anti-inflammatory treatments protect maternal mental health. Int Breastfeed J. 2007; 2: 6. Published online 2007 March 30. doi: 10.1186/1746-4358-2-6 http://www.internationalbreastfeedingjournal.com/content/2/1/6
 Kuratko, Connye N. et al. “The Relationship of Docosahexaenoic Acid (DHA) with Learning and Behavior in Healthy Children: A Review.” Nutrients 5.7 (2013) http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3738999/
 Noakes, P et al (2012) ‘Increased intake of oily fish in pregnancy: effects on neonatal immune responses and on clinical outcomes in infants at 6 mo.' American Journal of Clinical Nutrition Jan 4th http://ajcn.nutrition.org/content/95/2/395.long
 Sunita R Cheruku et al. Higher maternal plasma docosahexaenoic acid during pregnancy is associated with more mature neonatal sleep-state patterning. Am J Clin Nutr. 2002. http://ajcn.nutrition.org/content/76/3/608.long
Gómez-Pinilla, Fernando. “Brain Foods: The Effects of Nutrients on Brain Function.” Nature reviews. Neuroscience 9.7 (2008) http://www.ncbi.nlm.nih.gov/pmc/articles/PMC2805706/
#Essential fatty acids
#Eating for Health