Pregnancy is a somewhat immune suppressed state so while you're not necessarily more likely to get a cold, it always seems to take forever to get rid of it! First of all, having a cold has no effect on the baby so this is really about you. Traditional things like acetominophen for aches/pains/fever, fluids and more rest is still the mainstay. The options at the Pharmacy don't make your cold go away any faster, they just make it more tolerable.
Lozenges (ie. Hall's) and vic's are safe. Most over-the-counter (OTC) cold medications contain five medications and it's always worth reading the label: For Analgesics, it's best to look for acetominophen and avoid ones with non-steroidal antiinflammatories such as ibuprophen or Acetylsalicylic acid (ASA). Cough Suppressants (DM or Dextromethorphan) are safe during pregnancy. Decongestants (Pseudoephedrine and phenylephrine) are the most common and appear to be safe but may be worth avoiding in the 1st trimester of pregnancy. Decongestants that you squirt into your nose also appear to be safe but use only for a very short period of time as you can get a rebound effect when you stop if you've been using them too long.
Antihistamines (Diphenhydramine and chlorpheniramine) are the most commonly used antihistamines and are safe in pregnancy but can cause drowsiness and Expectorants (most common is Guaifenesin that is safe). The "Non-Drowsy" formulas also tend to include large doses of caffeine so you might want to avoid these. Always read the label and when in doubt, consult your health care provider or pharmacist for more information on what is right for you.