Well, Natsu is a passionate character. He could react with a lot of excitement. He might pick Lucy up and spin her around, laughing and saying how amazing this is. Or, he could also get a bit worried and start asking Lucy all sorts of questions about her health and what they need to do next.
Natsu may first be stunned into silence. But then, his fiery nature would take over. He'd probably start making all kinds of grand plans for their future and the baby's future. He might vow to protect Lucy and the baby with his life, and immediately start thinking about how to make their home safer and more comfortable for the new arrival.
He might be initially shocked. Natsu is a character full of energy and sometimes a bit clueless. So he could be stunned into silence for a moment before breaking into a huge grin, excited about starting a family with Lucy.
Erza would probably be very protective. She would make sure Lucy has everything she needs and would be strict about her safety. Gray might be a bit awkward at first, but then he'd be supportive. Happy would be over the moon. He'd constantly be around Lucy, bringing her fish and trying to cheer her up. Wendy would be excited and would offer to use her healing magic to check on the baby's health regularly.
Natsu would likely be extremely guilty. He might immediately stop whatever he was doing and rush to Lucy's side.
Their friends would likely be shocked at first. Happy for them, but also a bit worried. Erza, for example, would probably be very protective. She might start giving Lucy all sorts of advice on staying healthy and safe during the pregnancy. Gray might be a bit awkward around the whole situation at first, but would eventually warm up and offer his support in his own way, like helping Natsu with any odd jobs or tasks so he can focus on Lucy.
The plot could develop with them preparing for the baby. They might start looking for a bigger place to live. Natsu could go on quests to earn more money for the baby's needs.
Lucy might be heartbroken. After all, Team Natsu was like a family to her. She could initially go into a state of shock and disbelief. Maybe she would try to plead with the team to let her back in, explaining that whatever they thought she did was a misunderstanding.
Some fans would be really excited. They might love the idea of seeing their favorite characters in a more mature and family - oriented situation. It could add a new dimension to the Natsu - Lucy relationship that they've always wanted to see.
She might start to blush furiously. Given her character, she is a bit shy when it comes to romantic matters. And then she might start to stammer out a response, not really sure what to say at first. As she composes herself, she could tell Natsu that she has feelings for him too but in a very gentle and sincere way.
Natsu might be initially shocked and sad. He could go off on his own for a while to think about what happened. Since he's a passionate person, the rejection would hit him hard.
Natsu might be initially shocked and confused. He's not the type to expect rejection, so he could be at a loss for words at first. For instance, he might just stand there with his mouth open, not believing what he just heard.