We didn't! And this was our first! We bought everything gender neutral and instead of a baby shower before he was born, we're going to do a baby shower when he's 8 weeks for all the gender-specific clothes and non-newborn items.
It was actually a lot of fun not knowing! Our family and my hubby's work each had a poll/bet going; my husband lost lol but I won! Winners split the pot so I got a whopping $10 lol
We plan on having at least two more so it's not like we were "aiming" to have a boy or a girl.