In general, SSRIs are considered safe in pregnancy. One study a couple of years ago questioned the safety of paroxitine (Paxil) during the first three months, and linked them to a lesser heart defect, one that usually resolves spontaneously. The risk was very small. You are already past the point where that would apply. A new study that came out just a few weeks ago refuted the first one and said that Paroxitine did not increase risk. Motherisk.org is a good resource for this kind of info. If you go to the "professionals" section you can read the study reports.
Ongoing depression and depression during pregnancy are two very high risks for postpartum depression, and that is something that you want to avoid. Your doctor or midwife should be able to discuss this with you in more detail as it applies to your specific case and the drug being used, and you are wise to get others' experiences.
Essential fatty oils/omegas have also been very useful in treating depression when used in strong enough doses... up to 4g a day. The B vitamin complex is also essential. Using those might enable you to take a smaller dose of an SSRI..
D.