Although there's no real harm in sleeping on your right side, lying on your left side is actually good for you and your baby: It improves the flow of blood and nutrients to the placenta and it helps your kidneys efficiently eliminate waste products and fluids from your body. That, in turn, reduces swelling in your ankles, feet, and hands. If you train yourself to sleep on your left side early on, you'll have an easier time falling asleep when your belly is bulging later.
During the second half of pregnancy, avoid sleeping on your back, a position that puts the full weight of your uterus on your spine, back muscles, intestines, and the inferior vena cava (the vein that transports blood from your lower body to the heart). Back-sleeping can also put you at risk for backaches and hemorrhoids, inefficient digestion, and impaired breathing and circulation. Lying on your back in the second and third trimester can also cause changes in blood pressure. For some women, it can cause a drop in blood pressure that can make them feel dizzy; for others, it can cause an unwanted increase in blood pressure.
Source: babycenter.com, Jodi Mindell: Pediatric sleep expert