I would err on the side of not using hot stones on a pregnant client. Many pregnant women have the tendency to overheat rather quickly. I'd especially not want to increase vasodilation in the legs and put the client at risk for potentially moving a clot.
Cold stones, yeah, maybe on the face or neck. I can't think of anywhere else I would want cold stones! Maestra's right... its really subjective, what one woman will like, another will not. Plus so much of your perception changes during pregnancy... I'm at 37 weeks along now, and massage techniques I enjoyed before thoroughly annoy me now, and vice versa.