During the first trimester of pregnancy, you are just learning you are pregnant and coming to terms both with your fears and with your hopes for the future. This may have been a surprise and you or your partner may have some ambivalent feelings about the pregnancy. You may also begin to have fantasies and dreams about your child. You may feel increasingly focused on yourself and on the changes that are happening in your body. For many couples, sexual activity is reduced. Most women will experience some of these physical changes during the first trimester:
missed menstrual periods
breast changes
nausea and vomiting
urinary frequency
fatigue
increased basal temperature
weight gain
The uterus will be just above the pubic bone at 12 weeks

Learn more about how the discomforts of pregnancy like nausea and vomiting can be treated.
During this period, the embryo, which began as a tiny cluster of cells, becomes a fetus and develops all of the major organ systems. Here is what is happening:

First month (1-4 weeks)

embryo implants (attaches) to the wall of the uterus and develops rapidly
heartbeat begins on the 25th day
arm buds appear on the 26th day
leg buds appear on the 28th day
primitive digestive system develops
The embryo is 1/5th of an inch long.
Second month (5-8 weeks)

the face is forming
ears covered by thin membrane and continue developing
beginning of the spine
brain, liver, kidneys, bloodstream, and digestive system are developing
arms and legs developed
By the end of the second month, the embryo has become a fetus. It is about 1 and 1/8th inches long and weighs 1/30th of an ounce
Third month (9-12 weeks)

the fetus' eyelids are fused
facial features are present, the nose and outer ears are formed
nail beds established
movement such as head turning or sucking begins
teeth buds forming
all internal organs formed
swallows amniotic fluid
The fetus is about three inches long and weighs one ounce. The placenta is fully developed and also weighs about an ounce. One to three ounces of amniotic fluid are present. By two months a rudimentary umbilical cord has begun to circulate blood and nourishment to the fetus.