You can't get influenza from a flu *shot*, it's dead (unless you are thinking of the nasal-spray vaccine, which because it's a live weakened virus, is contraindicated for anyone in a risk group because there is some chance of getting flu from it. This would include pregnant people natch.) You can totally feel like carp for a couple of days afterwards though (my DH always does for some reason, but the most I ever have is a slightly sore arm) or of course you can catch some other evil virus from people in a waiting room or queued up in a grocery store or wherever.
There are single-dose thimerosal-free flu shots available now, but you have to ask for them and check that that's what you are getting. Multi-dose vials all have a preservative (thimerosal, that is the thing with mercury in it) and some brands of single-dose ones do too, or are "preservative-free" which means that it started out with thimerosal but got diluted so much that they are somehow allowed to round down to zero
Anyhow, I got mine at Walgreens walk-in "take care health clinic" where they're apparently giving only thimerosal-free ones to anyone who admits to being pregnant or presumably also anyone who asks (the downside to being obviously pregnant is that they made me call my OB's office to fax a "permission slip" to them. My OB's office thought this was ridiculous ("hi, just fax it, I'm using precious cell phone minutes here convincing you that they really are being this
safe-from-lawsuits." *snort*)) She showed me the package without me asking or anything (this is probably another safe-from-lawsuits policy.) Overall it was probably the most pleasant flu shot experience I've had. thumbs up. (I get one every year... asthma.)
Beyond that, everyone's gotta make up their own mind. If any of the other ingredients bug you or if you're not into vaccines in general there is always the "wash your hands a lot, stay away from sick people" option.