All doctors will have differing opinions on taking supplements. Some say supplements are absolutely not needed, others don't see any problems with them at all. If you are interested in taking a multi-vitamin and mineral supplement here are the ingredients to look for:

Vitamin A
Beta carotene
Vitamin D
Vitamin E
Vitamin B1
Vitamin B2
Niacin
Vitamin B6
Folic Acid
Vitamin B12
Vitamin C
Calcium
Chromium
Copper
Flouride
Iodine
Iron
Magnesium
Molybdenum
Selenium
Zinc

I would get in touch with the dietitian or nutritionist at your local hospital and ask what supplement they recommend, or ask your pharmacist. Your doctor may not be aware of the options out there, or may think your diet should be adequate enough in terms of getting all the nutrients you need. I think of supplements as just that. They are in no way a replacement or substitute for healthy eating habits. They are just there to fill in the gaps.

Now to address the caffeine issue. Caffeine is a controversial chemical. I have yet to read a definitive article that says to never touch it during pregnancy, but I find that most pregnant women do avoid it to be on the safe side. The problems that may be associated with caffeine are spontaneous abortions, low birth weight, and intrauterine growth retardation. The spontaneous abortions are more likely to occur with ingestion of 300mg or more of caffeine daily. (That is considered heavy usage.) Women who take in that amount are more likely to be smokers, not as educated and over-all participating in not-so-healthy lifestyles. All those extra factors contribute to the possibility of miscarriage, low birth weight and intrauterine growth retardation. In my opinion, I would try and keep caffeine use down to as minimal as possible. I also think that if you won't miss it, then just cut it out completely. I believe that during pregnancy it is better to err on the side of caution. Your baby deserves the absolute best start to life possible, and it is up to you to provide the safest environment.