From my standpoint - If anyone does anything for my child, they had better come to me about it first. While I fully intend to introduce my children to guns, the guns my children come in contact with need to be approved by me or my fiancee first. I can see how a friend would possibly want to buy one for my kid, but I don't think it's appropriate for it to be done before the child is even born, and certainly not without me knowing it.
I'd ask them what they think, because while it may be a welcome suprise, they also may take it very, very wrong. Also, being that the kid isn't even born yet, maybe they'd appreciate a more appropriate gift that can be used sooner, like a car seat or a crib. Shooting is a huge part of a family, but some things have to come first.