As Chantal said- it provides more oxygen to the baby. By laying on your back or even your right side you will restrict how much oxygen gets to baby. It's not life-threatening. If you wake up on your back don't freak out, just roll yourself back over. By the time you're in the 3rd trimester you won't even be able to roll over very well anyway.
I sleep with a body pillow on my left side, but I did that before I was pregnant, too, so I'm used to it. Some women sleep on their belly until their belly gets too big and that's fine.
They say the best sleeping position during pregnancy is to sleep on your side and it's even better to sleep on your left side. It will increase the amount of blood and nutrients that reach the placenta and the baby. By sleeping on your back in can restrict the blood flow. But everyone usually shifts positions during sleep, which is completely normal and fine! But it is best to try to sleep on your side or at least start out like that. Especially later in pregnancy, but even now, it's a good habit to start. I always sleep on my side, so it's not hard to do, but some people like to sleep on their back or belly and as you continue to grow, it will surely get harder to sleep on your belly!!! =)