The general consensus (from the doctors I have consulted) is that asthmatics can safely become pregnant without undue worry about whether the mother and the baby will be all right. Most doctors talk about a "rule of 1/3" by which they mean that roughly 1/3 of all asthmatics get better while pregnant, 1/3 stay the same, and 1/3 find their asthma is aggravated (I improved with one pregnancy, and stayed the same with the next).
In any event, the bottom line when pregnant is ensuring that the baby receives sufficient oxygen - and medications should be used as appropriate to control the asthma and protect mother and child. It is inadvisable to stop or reduce asthma medication solely because of the pregnancy without careful supervision, as this can lead to poorly controlled asthma, unnecessary ER visits, and poor outcome for the baby and/or mother.
Most commonly-used asthma medications appear to be safe when used in pregnancy; notable exceptions include the combination pills (Marax, Tedral etc) and those containing iodine (e.g. Theo-Organidin). Many people are concerned in particular with the use of inhaled, intranasal, and/or oral steroids but it has been my experience that most doctors are quite willing to use these as needed, especially the inhaled and intranasal steroids. It is my understanding that ephedrine (alone or in combination drugs), and phenobarbital (an ingredient in Tedral and other combination drugs) should be avoided.
There are choices in most classes of drugs, e.g., the bronchodilators, and many doctors will elect to put their patients on those drugs with the longest history of use in pregnant women - the assumption is that the longer a drug has been in use, the likelier it is that any problems would have become evident. For this reason, beclomethasone (Beclovent, Vanceril) is the preferred inhaled corticosteroid. Cromolyn Sodium (Nasalcrom, Intal) also appears to be safe for use in pregnancy.
In addition, if you need to use systemic steroids for a brief flareup, old concerns over fetal abnormalities (cleft palate etc.) appear to be less worrisome; I know of one case in which a woman used prednisone for something other than asthma for several months while pregnant and her baby had no problems.
Antibiotics may be used if needed; there are some such as tetracycline which should be avoided but others (such as penicillin) appear to be safe.
There is some anecdotal evidence from one contributer to the newsgroup that Serevent, the longer-acting B2-agonist, might be related to several cases of fetal abnormalities; I have not seen any official reports supporting or denying this but it may be worth discussing with your doctors if you use Serevent and are considering pregnancy.
Note: the above is a compilation of my own experiences as a pregnant asthmatic, anecdotes from the newsgroup, and excerpts from The Asthma Sourcebook and the National Asthma Education and Prevention Program Expert Panel Report. It should in no way substitute for consultation with qualified medical personnel.