Iron is carried in the blood and is used to deliver oxygen to the cells.  Low iron can lead to fatigue.  Folate helps in the production of red blood cells as well as other cells, and it is needed by both adults and babies.  B12 helps keep nerve and red blood cells healthy.  A deficiency can lead to nerve damage, or in babies, failure to thrive.

A deficiency in any of these can lead to anaemia.

I've been reading a book about immunology (The Body at War, by John Dwyer), and among other things, a deficiency in the three things you mentioned can lead to a depressed immune system, so you'll be more likely to cop colds and flu etc.  I assume that this depends on how low your levels are - low is not necessarily deficient.

And about the low iron causing bleeding, I was (and am) borderline to low in iron with my pregnancies, and for each birth I was given an injection of Oxytocin to stop the bleeding quickly, so that (they told me) my iron levels would not drop too much further.  So I guess the low iron doesn't cause excess bleeding, but the bleeding can cause iron loss.  I could be wrong.

soozntone is right about the folate.  in the first 3 months of pregnancy, folate (a B vitamin) helps protect against neural tube defects such as spina bifida. low iron wont have too much of an effect on the baby but will make you tired.  vitamin B12 help the growth and division of fast dividing cells (such as in developing a little baby) and deficiencies may cause birth defects and it also causes anaemia (so you may have been B12 deficient before you were iron deficient) and will make you tired as well.  The good news is that all 3 are easily fixed and if you have had your 20 week ultrasound any problems would have been picked up already, and if not- dont panic, the risks are small!.  Change your diet to one rich in green leafy veges, red meat, eggs, dairy, wholegrain cereals.  If need be your Dr can advise you on which supplements to take (either as a multi vitamin or separately- ie pregnancy vitamins, Berocca etc).

Folate is for brain development I believe.  And also I think it's highest requirement is in the first 3 months..  Not sure about the others..