Eating spicy food while pregnant is fine for mother and baby (who only gets a very small fraction of what mother consumes). If a food won't agree with you such as peppers (hot or sweet), spices, etc., then your stomach will let you know ... you'll get heartburn or bad gas and all you have to do is stop eating it. Women who are pregnant can have some very weird cravings (caused hormone changes) so eat what you feel like, but watch that weight gain. DON'T GO ON A DIET, but eat healthy because you are also feeding your baby.
One WikiAnswerer heard that if you crave lots of spicy food while pregnant, your baby is most likely a boy. Another argues that it's a bit of delightful nonsense, but if you want spicy food, eat away.