No. As long as you recover fully, there should be no long term effects. Pregnant women need to get a flu shot after the first trimester, as they are themselves at higher risk.
Usually not. Different flu strains can cause vast differences in the intensity if symptoms. If you are very sick with higher fevers and become dehydrated I am sure this can have some effect on the baby/pregnancy/fetal maternal unit. Also the earlier in pregnancy the greater the risk to baby with any illness. But again......Usually not a big problem.
It can. If the mother has a case of the flu it can trigger premature contractions and is associated with premature birth, that is why all obstetritions now give the flu vaccine to their pregnant patients.