Besides the folic acid others mentioned (which I believe prevents a specific problem with neural development), I think the supplements are more for the mother’s benefit. A woman’s body is pretty much made for having babies. If something in the mother’s diet is lacking, the baby won’t suffer but the mom might. The baby gets all the good first and mom comes second. That doesn’t chance once the baby is born, by the way.
I’m feeling too lazy to look this up, but I think I read somewhere that a pregnant woman who isn’t getting enough calcium to support the baby’s growth is at risk for osteoporosis because her body will basically “steal” calcium from her bones to give to the baby. There are women all over the world who don’t have access to prenatal vitamins but still have pretty healthy babies I would imagine. In some cases the baby might not develop quite right, but in others the mom’s health would be affected, especially after multiple pregnancies. Sorry for the lack of effort in documentation here. I’m running off to bed now!
Lurve for the parasite references. I’ve had that thought many times over the past 12 years.
Edited to say: Crap, I just read my answer above, but in a more concise phrasing. Sorry for the repeat!