Most of us don't need to worry about inadequate fat intake. On the contrary, fat intake is usually excessive. The issue of cholesterol levels has been widely discussed. Elevated cholesterol levels are a risk factor for heart disease. However, pregnancy and nursing are not times to check your blood cholesterol.
Cholesterol levels increase during pregnancy and nursing because of increased hormone levels.
During pregnancy, your iron requirement increases. Very few women have sufficient iron stores to meet pregnancy demands. A large amount of iron is required to produce those additional blood cells. Iron needs are most important in the latter half of pregnancy. Most women don't need to take iron supplements during the first trimester.