I've tried so many different ones over 20+ years but have been on Sertraline for about five years straight 50mg daily).
I do wonder if the medication changes somehow between batches, as sometimes I'll have no side effects when starting a new pack, but then other times I'll get the headaches, sweats (during the day - the most inconvenient time), anxiety, sleeplessness, itchiness and nausea. Other times I'll just get one or two of these side-effects at random times. At times I take (prescribed) anti-nausea tablets to combat that and (prescribed) antihistamines at night with a sedative effect to help me sleep (and to combat the itchiness) ... but would make me feel groggy in the morning. It's a bit of a vicious cycle but I only take them when I need to. I also take a lot of Ibuprofen for the headaches.
Of all the ones I've tried over the years, Sertraline has been the best. It took a couple of weeks to get used to them - I felt suicidal in the first week, which was truly frightening as I take them for anxiety, not depression - but the side effects are not as bad as others I've tried. I do find that if I don't take them at the exact same time every day I seem a bit out of sorts and, like others have said, if I don't drink them with a huge glass of water, I get the most atrocious heartburn.
Edited to add: Weight gain! Yes, I have put on a huge amount of weight (about 10kg). I am a relatively newly diagnosed Coeliac and, while I'm still adapting my diet, eat like a sparrow ... yet the weight has not come off at all. But I'd rather have my anxiety under control, which Sertraline does a wonderful job of doing, than worry about not fitting into my favourite jeans.
With regard to Sertraline and pregnancy, yes it's a safe combination. But, Sertraline may not be the drug for you. I would suggest you try it - give it at least a month before deciding whether or not it's the drug for you. If you decide it's not, don't hesitate to ask your GP for something else. What works for one person might not work for you. I have friends who rave about Fluoxetine (Prozac); for me, the side effects of shaking, dizziness and vivid nightmares were too much to handle.