I take them and I have read about all the benefits, being less PPD, better brain development for the baby, better memory and emotional state for mom! I take the Arctic Omega type by Nordic Naturals (found at a health food store) which are super purified and both my midwife and ds's pediatrician recommend. I'll read you what's on the label:
"All Nordic Naturals fish oils surpass all pharmaceutical standards for freshness and purity. Every batch is third-party tested, showing no detected levels of heavy metals, dioxins, or PCB's."
It's made from smaller fish (like anchovies and sardines) so the levels of mercury would be minimal anyway. Mercury levels are much higher with large fish since they comsume other fish, thereby taking in their mercury on top of their own. I like the brand also because there is minimal "fish burps" and they are slightly flavored with lemon.
You could take flaxseed oils instead but I think you have to take much more to get the same result.