I did the Passport and SS. That's all I've changed. My US Driver's license, voters registration, bank accounts, etc., are all still in my maiden name.
The passport is your official government ID so that's as official as it gets! It's smart to update Social Security before you file your taxes.
A bit off topic but I'm hoping Democrats Abroad hold actual presidential polls for the November election, as they did for the primaries. I was a bit concerned about my name. But I do have my marriage certificate showing my maiden name and married names, old and new passport, drivers license in my maiden name, etc. So I think I'd be fine to vote (if they hold an in person election poll).
I totally understand wanting to change it before baby! Congratulations!