Anything that would give off any sort of chemical fumes should be avoided as these can often cause damage to a fetus, especially very early in pregnancy. (I learned this as a costume/dyeing major in college) And anything that might be absorbed by your skin would also potentially effect the baby. I just recently wrote about possible effects of tattooing or piercing when pregnant, and basically if it can get into your bloodstream, it IS going to go to the baby.
I would think henna would be safe, as it's a stain that stays on the outside of the body. I also have a few friends who didn't color their hair when pregnant as they were enjoying the change in their hair from all the hormones and vitamins in their bodies.