When a woman is pregnant, the fetus is growing quickly and does not have the ability to fight off viruses. So, giving a woman a vaccine with a virus in it is potentially very dangerous to that growing baby.
In general, vaccinations are very helpful and they have done wonders for the world in the last century. But, as of 2009, many flu shots have thimerosal (aka: mercury) in the vaccine, which can quickly pass to the fetus and cause major brain and nervous system damage.
Therefore, unless an expecting mom is about to enter a high risk area (like remote parts of Asia or Africa), getting a vaccine while pregnant or breastfeeding should be avoided.
Unfortunately, even vaccinations given to healthy, young, active adults can potentially have very negative side effects.