I was always taught that pregnant women should avoid sleeping on their back. This is especially true as you get closer to term date. As the baby gets bigger, it and the uterus can compress the inferior vena cava, the main vein that brings blood back to the mom's heart. Less blood into the heart means less blood out of the heart, which can harm the baby.
Here is a article about a study that showed that sleeping on the back while pregnant was associated with stillbirth. Researchers think that the stillbirths occurred because the babies were low birth weight - possibly due to reduced blood flow to the placenta during back sleeping. Researchers speculate that sleeping on the sides may reduce rates of stillbirth.