Medicine. Nothing worse than a feverish baby at 2 in the morning and no medicine. Diapers, wipes, onesies, sleepers, spit up catchers, bottles, bath stuff.
Along with all the things these ladies said I would also add Baby Einstein DVDs. They were amazing when my son used to get fussy. They teach them things and use classical music, colors and shapes to keep the baby entertained while you clean the house or do other random things.
For me first thing first. I would get a car seat first then along with diapers and clothing. .and the rest.
Lots of blankets and onsies :) bottles if your not breastfeeding or if you are pumping. Bath stuff.
First time, I'm just making sure I have diapers, wipes, diaper rash cream, clothing, bassinet/co sleeper, carrier, breast pump, and a car seat. A swing is great too. We're not going to break the bank.