I had some bloody mucus discharge Wed evening and all day yesterday, but since I had two vaginal exams on Wednesday (at my reg appt in the morning and due to the false labor thing that night) I wasn't sure how much of it was spotting from that, and how much was actual bloody show from the dilating. I was 2 cm Wed morning, 3 cm that night. It was more than the light spotting you typically get from a vag exam, though, very red in the morning and turning brown by last night, and definitely mucus and not just blood.
With my first two I never saw a distinct plug - I think I saw a small amount of blood-tinged mucus after my water broke with Jenna, and had some spotting the day I went into labor with Noah because I had my membranes swept that morning. I guess for some women it's a big event ("Woh - there's my plug!") and for some it's more a gradual process that's easy to miss.