A walking journal helps you keep track of your progress and can help you troubleshoot problems. Buy yourself a traditional writing journal -- Aspinal of London (aspinaloflondon.com) has lots of pretty journals. Or go log your efforts on to Fitnessjournal.org.
A pedometer helps you keep track of your mileage. Digi-Walker's models are the gold standard for accuracy in counting miles walked and calories burned (www.new-lifestyles.com).
A heart rate monitor is especially important for pregnant walkers. Invest in one and talk to your doctor about the right target heart rate for you. The Polar A3 Heart Rate Monitor has lots of features for a low price.
A lumbar pack sits low on your back and unlike a fanny pack, offers back support. Use it to stash keys or a pacifier. Marmot's Jaunt (marmot.com) is lightweight.
A weighted vest is a safe way for new moms to add resistance training to their workout. Debbie Rocker's Walkvest (walkvest.com) is a great choice.