Pregnant is much, much more common, but they mean the same thing.
I had never heard the word 'gravid' until now :) It is a 'technical' term for pregnant, so it would usually be used by doctors or scientists.
Some other common ways of saying pregnant are:
'with child'
'carrying a child'
'expecting [a baby]'
There are also lots of slang sayings, but these aren't very nice:
'up the duff'
'up the stick'
'to have a bun in the oven' [this one isn't so bad]