I was slightly anaemic towards the end of my last pregnancy, feeling extra tired and having headaches. I also had a slight visual disturbance that looked like little dots floating in the air in front of me; I was told at the time that this is also a symptom associated with aneamia.
If in doubt get yourself checked out though, especially if you feel very faint. Good luck with the iron tablets - I couldn't keep them down and had to stop taking them. In the end I just ate lots of iron-rich food (watercress, apricots, prunes, pumpkin seeds, red meat, green veg, eggs...). I've heard that its more effective if you drink orange juice with these foods as the vitamin C helps you to absorb the iron (anyone know if this is true?)