You can find a useful table here that shows what tests need to be done when and why.
Through out your pregnancy you will have blood tested several times. These are done to gather information about your health and that of your baby. Here you can find information about some of the tests you will need.
Urine tests are also common. Read more here.
You may also need to have a vaginal examination to check for bacteria in the vagina. Read more here.
As always, if you have any doubts or questions talk to your Doctor.