Listening to nice soothing music can have a calming effect on both mom and the baby inside her womb. Babies can usually hear sounds form the outside starting around the 20th week of the pregnancy.
Starting from the 20th week, moms can listen to soothing music at a reasonable volume (ie., not loud). Moms can even sing to the baby themselves. If you are buying music, you can get a CD of your favourite music. You can pick something that is soothing like Indian classical or Western classical. There are even CDs available now that are specifically for pregnant moms. Western composers like Mozart and Vivaldi have been perennial favourites of moms.
Many women also listen to music during labour as it can help soothe the pain. You can put the music on your cell phone or take a small music player like an iPod also.