If its anything like what happened for my wife, firstly make sure you get proof of pregnancy from your doctor, because any health insurance company will want to see that.
I'd also recommend you get several quotes, because there are so many insurers around these days and you could save quite a bit of money. Of course you don't want to go "cheap" at such an important stage of your life (and your little ones life), so get quotes, check the small print, and good luck with the baby!
I've just found out recently that I'm pregnant, and I still don't have any health insurance. What should I do to get some organized as quickly as possible, but without getting ripped off in the process?