If you contracted the flu while pregnant, baby would be born with those antibodies and continue to get more antibodies if you breastfed. And this would cover baby for whatever strain of flu you contracted, not just the 3 strains the shot covers.
If you read all the papers/info sheets in the package, it's actually contraindicated during pregnancy.
If you ask (most, very near all) care providers, they will tell you the benefits outweigh the risks, because that is what they have decided themselves.
I only know about the info sheet contraindication because my mom is a nurse in a couple offices and she has read all the info - my old family Dr, whom my mom works with in one office, actually refuses to give the flu shot to any pregnant patient. He tells them the info, if they insist that they want it he will refer them to another Dr or an OB.
He is the only Dr I've ever heard of or met who doesn't recommend it, though. Which kinda disturbs me.
ETA: to actually answer the question
I have never gotten the flu shot. I have never "officially" been diagnosed with the flu, pregnant or not, but I know I have gotten it many times over the years and at least twice while pregnant. I have never been hospitalized with any complications from it.
FWIW, I have asthma, so having the flu or any respiratory infection isn't fun. But, even so, I've been fine to be at home with lots of fluids, rest, warm baths, Tylenol or Advil, and occasionally my puffer.