My fiancee's boss's sister (how's that for a refrence!) didn't know she was pregnant until she had to have a c-section. Her period went on like normal the entire time, and she didn't gain much weight. Just at the end her gut pain got so bad she went to the hospital, and they immediately found and removed a baby.
The story usually ends with the father being told his daughter is in the maternity section, and not believing it, but I'm not good at telling that part.