Actually Faintness and dizziness is fairly common in pregnancy.
In the first trimester, dizziness may be related to a blood supply that is inadequate to fill the rapidly expanding circulatory system, in the 2nd trimester it may be caused by the expanding uterus on blood vessels, the presure of it may cause it. Dizziness can occur anytime you rise from a sitting or prone position.
Also, low blood sugar can cause it, I know you didn't skip meals, but just in case you feel this again, carry something with protien and sugar in it, or raisens, some fruit, or crackers.
If your in a store, like purbaby said, it might be an overheated store, especially if you are over dressed, get some fresh air, by going out sider or opeining a window, or just do the head between the legs thing.
Tell your doctor about any dizziness/faintness you may have when you see them next. But since you actually fainted, yes you should report that promptly, it could be anemia or other illness that needs to be checked. Good luck!