Yes, it's a smart idea for women to get a flu shot during pregnancy. When you're pregnant, your immune system isn't as strong as usual (because your body is hard at work helping your baby thrive) so your natural ability to fight off illnesses is compromised. This means you're a lot more vulnerable to catching the flu and more likely to develop serious complications like pneumonia.
Flu season generally runs from November to March. The best time to be vaccinated is in October or November, although it still helps to be vaccinated in December or beyond). Your ob-gyn should be able to give you the flu shot, but if not, you may need to get it from your internist or family doctor. Keep in mind that the nasal flu mist vaccine is not safe for pregnant women (it's made with a live form of the virus) so you'll need to stick with the traditional shot. And since flu strains change annually, you need a new shot every year. Having been vaccinated last year won't protect you against viruses circulating now.