ECT generally works well and, as I understand it, is much safer in pregnancy - although some drugs are fine then , too. I've never been pregnant so can't address that side of the question. As for ECT, it worked well for me. There was somewhat more memory loss than the normal memory loss of depression. Bonce reminded, I usually got it back.
The procedure is not scary unless you dislike short-term anesthesia, and, of course, you're not conscious for about 5 or 10 minutes. Where I went I was doing this outpatient. The saff and medical personnel were pleasant and respectful.
ARGH typo - "Once" reminded
Also "staff" -- good grief, trying to type first thing in the morning is a bad idea!