Maggy the Frog's prophecy of Cersei having and losing three children seems to be right on the money but for one thing:
Either Cersei is lying to Cat in the 2nd episode about the "little black-haired beauty" who died in infancy, or Maggy was (wrong?)
The "You win or you die" scene in the eponymous episode (Season 1 episode 7) doesn't provide any hints. Cersei cops to all of her living children being Jaimie's, but neither confirms nor denies any dead children between her and Robert.
My best guess is that since it was Robert's custom to be away on a hunt during his wife's childbirth, Cersei killed the (born living) baby shortly after the birth. But that's just a guess since that would make her statements to Cat technically true, without entirely conflicting with Maggy's prophecy (Cersei felt no loss, and perhaps the baby wore no gold shroud).
I'm pretty certain that there haven't been any more hints in the show (see my new answer below for a correction on this). But I've only read about halfway through the books so far, and it's been a while. I easily could have missed something in what I have read.
So, any clues in the books that aren't in the show? Do the books tell more of the "black-haired beauty"?