Ultrasound during pregnancy
The U.S. Food and Drug Administration (FDA) has the following information regarding the risks of ultrasound imaging;

Ultrasound imaging has been used for over 20 years and has an excellent safety record. It is non-ionizing radiation, so it does not have the same risks as x-rays or other types of ionizing radiation.
Even though there are no known risks of ultrasound imaging, it can produce effects on the body. When ultrasound enters the body, it heats the tissues slightly. In some cases, it can also produce small pockets of gas in body fluids or tissues (cavitation). The long-term effects of tissue heating and cavitation are not known.
Because of the particular concern for fetal exposures, national and international organizations have advocated prudent use of ultrasound imaging. Furthermore, the use of diagnostic ultrasound for non-medical purposes such as fetal keepsake videos has been discouraged.


FDA &gt; Radiation Emitting Products &gt; Medical Imaging &gt; Ultrasound Imaging
Further information

I had a bit of a look through PubMed and Scopus for any papers relating to ultrasound risk, but didn't find any.