Wikipedia:
Just before filming began on the show, Lucy became pregnant with her and Desi's first child, Lucie Arnaz. They actually filmed the original pilot while Lucy was "showing", but did not include this in the episode.

Later during the second season, Lucy was pregnant again, with second child Desi Arnaz, Jr. This time, they incorporated her pregnancy into the storyline. Despite popular belief, Lucy's pregnancy was not TV's first on-screen pregnancy. That distinction belongs to Mary Kay on the late 1940s sitcom Mary Kay and Johnny.

In this era, saying the words "pregnant" or "pregnancy" on the air was prohibited, so they always described Lucy as "expecting" (or "'spectin'" in Ricky's case). When Lucy finds out she is pregnant, she announces to Ethel: "I am going to have a baby!" The episode "Lucy Is Enceinte" aired on December 8, 1952 ("enceinte" being French for "expecting" or "pregnant"). The episode "Lucy Goes To The Hospital" first aired on January 19, 1953, the same day Lucille Ball gave birth to Desi, Jr., and was watched by more people than any other TV program at that time--a considerable feat, given that Dwight D. Eisenhower was inaugurated President of the United States the very same day. 68% of all American television sets were tuned in to I Love Lucy to watch Lucy when the time arrived for her to give birth.

http://en.wikipedia.org/wiki/I_Love_Lucy

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