  The Nernst effect has recently proven as a sensitive probe for detecting
unusual normal state properties of unconventional superconductors. Here we
present a systematic study of the Nernst effect of the iron pnictide
superconductor \laf with a particular focus on its evolution upon doping. For
the parent compound we observe a huge negative Nernst coefficient accompanied
with a severe violation of the Sondheimer cancellation in the spin density wave
(SDW) ordered state. Surprisingly, an unusual and enhanced Nernst signal is
also found at underdoping ($x=0.05$) despite the presence of bulk
superconductivity and the absence of static magnetic order, strongly suggestive
of SDW precursors at $T\lesssim150$ K. A more conventional normal state Nernst
response is observed at optimal doping ($x=0.1$) where it is rather featureless
with a more complete Sondheimer cancellation.
