I couldn't afford those big lovely pregnancy pillows when I was pregnant, but I did build a "fortress" as my husband likes to refer to it by. Essentially, I had my head sleep on one amazing pillow, and then I had those king-sized pillows positioned behind me and slightly under my back/butt, then another less poofy pillow placed under my lower belly (since I was huge!) and slightly in between my knees. It sounds ridiculous, but I still sleep like this when I'm NOT pregnant lol!
Pregnancy is really hard for me as a light sleeper that spends a good amount of time sleeping on my stomach or back! I got one of those big body pillows (like being in bed with another person besides me and my husband!) and would put it behind me so I could lean back on it. But I wasn't "on" my back. I had other pillows in front of me. I didn't pay too much attention to right or left side because I had pregnancy brain and would be like "my right or your right". But I got on my side. Liked the pregnancy pillow although it fought for space with my husband.