The main danger pregnant women have to watch out for is heat. Anything with the potential to raise their body temperatures above safe levels -- including saunas, steam rooms, hot tubs and other heat-related treatments -- are all off limits.
There are still lots of services pregnant women can enjoy at a good spa, however. Massages are a great example, although moms-to-be will want to make sure the masseuse treats them properly -- some massage therapists specialize in prenatal massages and it's important to work with these professionals. Massages are often not recommended during the first trimester, although well-trained prenatal massage practitioners can manage it under most conditions. It's a good idea to ask your doctor's opinion on the matter as well.
Hair bleaches and removal creams, aromatherapy and detox scrubs are usually considered a bad idea, but gentle facials, simple manicures and pedicures (without the accompanying rub if the person isn't trained in reflexology) and warm baths are all good ways to pamper pregnant women. Just make sure nothing contains any harsh products or chemicals. The best advice is to find someone with the proper training and follow his or her instructions.