I'm pregnant and I'm having trouble breathing/getting enough oxygen. Is this normal? I there anything I can do?

Sustained shortness of breath requires medical attantion. In normal pregnancy, accumulation of co2 stimulates the over-sensitive respiratory center in medulla oblogata resulting in episodic feeling of shortness of breath. Sustained sob however, may be related to a pathology in lungs, heart, or brain.
Maybe. Shortness of breath during pregnancy is common. It can be related to pressure from the enlarged uterus pushing up on the diaphragm. The blood volume and cardiac output also increase as the pregancy progresses. That said, if you are short of breath, report the symptom to your doctor. There are occasionally more serious causes.