Bug Sprays (Insecticides/Pesticides/Repellants)

Should I avoid them? Yes. They're considered poisons and pregnant women should stay away from them as much as possible.

What are the risks, if any, to my baby? Although there's no evidence that the typical occasional household use of insecticides does any damage to a baby, it's best to err on the side of caution. High levels of exposure may cause:

miscarriage
premature delivery
birth defects
As for insect repellants (which may contain DEET, or diethyltoluamide), the risks aren't fully known. So, it's best to either not use them at all during pregnancy or to wear gloves to place a small amount on socks, shoes, and outer clothing instead of putting repellants directly on your skin.

What can I do about it? If you have a real problem with pesky bugs around your home, the March of Dimes suggests the following:

Use safer methods of removal such as boric acid, which you should be able to find at your local hardware store.
Make sure someone else applies the pesticides.
When pesticides are sprayed outside, close all windows and turn off air-conditioning units and window fans to prevent the fumes from entering your home.
Remove utensils, food, and dishes from areas where the chemicals will be used.
Stay away from the treated area during the application and afterward for the amount of time specified on the product label.
Have someone else wash any treated area where food is prepared or served.
Wear rubber gloves when gardening outside where pesticides have been used.
Have your water supply tested regularly if you have well water and use pesticides, fertilizers, and weed killers.