We didn't do anything when I was pregnant with ds. I guess it just didn't occur to me that my water would break in bed, which could happen. We have an older mattress, though, and I'm not too concerned about it.
We are planning a homebirth this time, and will put down a pair of clean sheets, then a waterproof liner, and then some older sheets for the birth.
As far as the baby peeing in bed - well, we had some leaks, and maybe we are just unsanitary people, but we just washed the sheets and left it at that!
I've always liked the idea of a wool matteress pad, but it sure would be a pain to wash all the time, and I just haven't been able to afford one for our king bed.