Like the girls above said, its ok to dye, just stay well-ventilated if you do it yourself. If its in a salon, let your stylist know and depending on the location they may open some windows or prop a door. Hairdyes these days simply stain your hair and scalp with all over colors. If you get foil/highlights, all the better because the chemicals never actually touch your scalp, only your hair. I worked in a salon for 8 years and at one time 6 of us were pregnant at once. We all colored our hair and had healthy babes! Now go get pretty! Nothing makes preggos feel better than great hair!
Yes it is OK tell your hairdresser you are pregnant though.
And be sure to ask for the dye with no amonia in it.
The fumes are the biggest risk to you & baby now. Years ago dyes contained chemicals that could cross the placenta. Make sure you have good ventilation. The other problem is the changes to your hair pregnancy brings. So be sure to strand test. You may not need the same dye you normally use to get the results you want.