I am a student in Austria, I have an EU citizenship. My wife is pregnant and is a third world country resident. Can someone explain what my options to bring my wife to Austria are.
Assuming that your wife is a citizen of a country whose citizens need visas for short visits to the Schengen area, your wife needs a visa. Assuming that you are not Austrian, the visa should be free of charge. She would normally apply for this visa at an Austrian consulate or embassy, but the details could be different depending on the country she's in.
You don't really need to consider other options, because this one is so straightforward.
After she gets to Austria, she'll need to apply for a "residence card" if she plans to stay for longer than three months.
Because you're a student, you may need to show that both you and your wife have health insurance. If you are a "worker," however, that requirement disappears, including if you are both working and studying.