D.S.
I did some poking around on the Internet and this is the only negative article I can find: http://www3.whdh.com/features/articles/healthcast/BO15849/
So, if you don't get one done by someone who only says they're a technician and are not actually licensed, it's possible it could be harmful. That's not a lot of harm in my opinion. The FDA regulates all ultrasound equipment and no evidence yet has surfaced that shows that ultrasounds are harmful.
That said, I had one done (didn't request it, they just sort of flipped the machine on one day and asked me if I wanted to do it) and it was amazing. It didn't really show me who my son looked like, but it sure was a lot better than looking at those black and white ones with scary outlined eye sockets. It was great to show to relatives, especially my grandma who was from the era when you just had to guess until the baby showed up. It also made me feel better to see a whole baby because I had been having strange dreams of a baby missing body parts (aack!!).
I would consider one to be perfectly safe to have during your pregnancy. Just don't go all TomKat and buy your own machine. :o)