First: don't stress. 
Advice from my doc: when you're on your period, you get a free zone. Get your wine in, have caffeine, whatever. Scale it back in between.
Once pregnant, don't go scuba diving or go mountain climbing above 14,000 feet, keep the alcohol and coffee to one or fewer per day, and avoid hot tubs. On my own, I have additionally been avoiding artificial sweeteners, and listening to my body about exercise (I can't hit PRs on weightlifting now, and my intervals are much less intense than before). For endurance sports in the heat, electrolytes are good, but sheer hydration is most important.
In general, I personally feel more comfortable with real food than with supplements, especially concerning the fat burners.
And honestly, when it comes to this stuff, half of it is black magic, I'm convinced, and you'll get a million different opinions. After trying for a year, I'm finally convinced that the real magic occurred the day I got my belly button pierced (d'oh)! 
-- gnat! (It's like acupuncture or something.)
Windsor: 2010 S-Works Ruby
Pantysgawn: 2011 S-Works Stumpjumper 29er
Whiz!: 2013 S-Works Crux (Singlespeed)
Boucheron: 2009 S-Works Tricross
Haloumi: 2013 Tern P7i
Kraft: 2009 Singlecross
Gouda: 2005 Electra Betty
Roquefort: 1974 Stella SX-73