As was mentioned, the problem with cheese is the potential for Listeria. The risk is primarily for cheeses made from unpasteurized milk. Soft cheeses are the ones to double check, as the aging process used in hard cheeses, even those made with unpasteurized milk, makes the cheese inhospitable to Listeria cultures:
Hard cheeses have longer ripening periods, reduced moisture content and lower pH and are unlikely to support the survival and proliferation of Listeria and are therefore generally safe to consume by at risk groups
Depending upon your local food safety regulations, soft cheeses made with unpasteurized milk may be altogether rare, or obtainable only from specialty shops. Always check the label on any soft cheeses you may intend to consume while pregnant.
Another class of cheeses to avoid are "mold-ripened" (same source as above):
These cheeses are divided into two categories: white mould cheeses, which are surface ripened (i.e. Brie and Camembert ) and blue mould or blue veined cheeses, with mould throughout the cheese (i.e. blue, Gorgonzola, Stilton ).
The relatively high moisture content of the surface ripened cheeses, along with a nearly neutral pH in fully ripened cheese, allows rapid growth of Listeria bacteria. Mould ripened cheeses are also highly susceptible to surface contamination during ripening. These types of cheese should be avoided by at risk groups.
Finally, "whey cheeses" (typically Ricotta) have a high moisture content and growth of Listeria may occur if there is post-processing contamination.
In addition to these cheeses, we were also warned not to eat any cheeses that were sliced at a deli. The slicers at delis are often only washed once a day (if it is a reputable deli), and room-temperature cheese residue builds up on the slicer throughout the day. In some cases, the slicer may also be used to cut meats in addition to cheeses, increasing the risk of cross-contamination (sliced deli meats were another thing we were warned against).