Prawns are generally a healthy choice. They are low in calories and high in protein so will keep you satiated for longer. They also contain a lot of essential vitamins and minerals. They do, however, contain a fairly high amount of cholesterol, although since they are so low in saturated fat, it is unlikely that eating them is going to have a significant adverse effect on your cholesterol levels.
Prawns are also safe to eat when pregnant (providing they are cooked) which is great news if you are looking for a seafood fix!