One of the most important parts of advice you will probably receive during pregnancy, is that you should have no treatment during the first 12 weeks. 
This is due to the fact that in these very early stages, your unborn child is at its most vulnerable and developmental stage. As your pregnancy progresses, you may find that your skin may be extra sensitive so avoid any harsh or highly perfumed or fragranced products. 
At home, products you may have used for years could all of a sudden cause a reaction or disagree with you due to your heightened sensitivity. Certain essential oils (like lavender, citrus oils) can be very beneficial in easing particular discomforts during pregnancy, but there are also oils which can be too stimulating for a pregnant client so it's probably best to stick to a base carrier oil during a massage or in the bath. I would also avoid waxing, it's painful enough at the best of times without your skin being extra sensitive! 

Body

Most salons and spas will offer tailor made treatments for pregnant clients, taking into account the body positioning, comfort, lack of mobility and products to be used/avoided. The last spa hotel I worked in offered a range of ‘mother to be’ treatments which had been created specifically for a pregnant client. e.g the massage was carried out with the client lying on their side, taking care to avoid putting any weight on the stomach and bolstered up with as many fluffy cushions as they required!

Facials

A facial can be a much needed treat during pregnancy as you may be suffering with extra dry or sensitive skin, or your complexion may be dull and lacklustre as you pass most of your important nutrients on to your baby. Or you may just simply not have the time or energy to treat yourself at home. Your therapist may have to stick to plain/unfragranced products and the treatment may be adapted to avoid certain areas during the massage section but this should not detract at all from the facial resulting in full comfort and relaxation throughout. Lying on your back for too long may cause your blood pressure to drop and you could become light headed and feel faint. ALWAYS speak up! Your therapist may only need to raise the bed or reposition you slightly to avoid this from happening and you passing out completely! (I once carried out a facial on a heavily pregnant client who couldn't lie down at all so had the couch raised so that she was almost sat upright, I had to stand to reach her face and could hardly see what I was doing!)

Hands and Feet

Manicures and pedicures are usually a safe bet and often inclusive of a soak, massage etc but be careful of harsh chemical based polishes if opting for a nail paint. Most product ranges now are becoming, if not already, chemical free, but it's always best to check with your spa or salon beforehand which product range they use. Leg and foot massage treatments are usually quite popular with pregnant clients as they can become sore and swollen during pregnancy and the bigger the bump, the harder it can be to actually reach your feet!

Alternatives

Reflexology can be a very relaxing and beneficial treatment during pregnancy (and who doesn't love a foot rub?) Your therapist will adapt the treatment slightly to avoid certain reflex points (such as the pelvic region/reproductives) that correspond to certain parts of your body, thus avoiding over-stimulation of these sensitive areas. An Indian Head Massage is a great treatment incorporating the head, neck and shoulders and is carried out whilst the client is seated comfortably, so the body is supported in an upright position throughout. This treatment can also be carried out whilst the client leans forward onto the side of the couch if they would prefer to cushion their stomach or they don't find it particularly comfortable to sit upright for too long. The therapist should take care to avoid too much pressure and beware of certain pressure points but overall a wonderfully relaxing treatment to reduce stress and release tension. Physically your pregnancy may have taken its toll on your body but emotionally, you may also need an energy boost. Reiki would be an ideal treatment to indulge in, especially as you're getting towards the end of your pregnancy when you may feel uncomfortable and not want to be getting undressed for a treatment. Reiki is a gentle, non-invasive treatment which is performed with the client fully clothed, lying down or seated so a fuss free treatment!

Spa Facilities/Swimming Pool/Hot tub

You are visiting a day spa/hotel with a swimming pool and other spa facilities, generally you will be advised to avoid hot tubs/saunas and steam rooms as they are deemed too hot. As your body is already acting as an incubator to your baby, the last thing you want is to raise your core temperature any higher, and this can happen quickly in a spa environment. Gentle swimming should be ok but some doctors may advise against it due to the use of chlorine in pools. Again if you start to feel too warm or light headed at any point throughout your spa experience, even in the changing rooms, notify someone immediately. remove yourself from the environment if its safe and possible to do so, have some water, sit down and try and take in some fresh air. Communication is key, always let the spa/salon know in advance that you are pregnant to avoid any upset on the day. Before using the spa or having any treatment, make sure your therapist is fully aware and understands you and your pregnancy. There is no reason your treatments can’t be just as enjoyable throughout pregnancy, even more so, you just have to take a few extra precautions for your and your baby's well being.