I know that silicone toys are all fine-just be careful with rough thrusting. Anything clitoral is fine...but no glass, metal, or jelly, cause if you accidentally tap your cervix with a silicone dildo - no harm, no foul; if you tap it with a hard toy, you may bruise your cervix, possibly cause cramping, or even contractions. Jelly often causes irritation...
Lube wise, stick with water based or silicone, but make sure it's glycerin free...and of course, if you have any concerns, check with the doc.

Firstly, ALWAYS check with your doctor first. Jennifer is right; stick with silicone for insertables, and definitely phthalate-free for anything. Most things should be fine (but go glycerin free, definitely), and ALWAYS ask your doctor first, because it's way better safe than sorry.

Always check with your OBGYN. I used sex toys during my first trimester only, complications arose and I was advised to stay away from sex toys and sex to keep from going into premature labor. If your doctor gives you the okay there are some things you want to take note of; Always use a CLEAN sex toy, you do not want to run the risk of infection that could harm you or baby. Use toys that aren't too large or too hard, you don't want to cause irritation or possible bleeding to the cervix. Stick to phthalate-free toys, such as silicone, however, if you have a jelly toy you love than use a condom. Avoid being too rough and listen to your body, if it starts to hurt or becomes uncomfortable than it's an issue you need to discuss with your doctor. Also, just keep in mind that the muscular contractions of orgasm can also bring on early labor, as can jogging and various other activities.

Definitely good idea to talk with your doctor. If you're in the early stages of pregnancy, try to avoid a vibrator. I wound up bleeding due to the intense orgasm the vibrator caused in the first trimester with my son. Talk about scary!

I just wanted to say that this is a GREAT thread because I plan on getting pregnant soon and need to learn about what to's and what not to's...thanks for stating it!

Not only can intense vibration or thrusting cause premature labor in the third trimester, there is always a change you can artificially rupture the membranes. When the water breaks early and the longer the delivery is delayed after the rupture of membranes increase the chance of a very serious infection. Careful.