Well, with my first pregnancy (my son) I was always HOT HOT HOT! Even in the winter - he was born Dec. 10, 2009 - I wasn't ever cold. It was funny because my husband who is always hot, would be colder than me! But, this time around, being pregnant with my daughter (due June 12, 2011) I am usually COLD! My husband's cousin's wife is also pregnant with a girl and is due 2 months before me and she gets cold really easily, too! So, I think it could have to do with your pregnancy - and in my case, it seemed like a symptom that meant either boy or girl - not sure if there's really any proof to why that is - but there's lots of crazy hormonal changes going on during pregnancy, so you never know what kind of symptoms you may have! I think you're probably fine, though. :-)
I was always cold while pregnant. Even when I'm not pregnant it's freezing (I shiver when it's colder than 75 F outside) but it was really bad when I was expecting. I always had on sweatpants, jackets and blankets to try and keep warm. You can definitely bring it up to your doctor to see if it's anything concerning, but in my personal experience it wasn't anything to worry about.