Clothes (pretty obvious)...I would start off buying some 0000's (not too many) and definitely some 000's.
Somewhere for bub to sleep (basinette, cradle, cot for example) and bedding.
Nappies.
A car seat or capsule.
A baby carrier (if you're not planning to buy a pram straight away)
I could not live without a bouncer or a rocker... somewhere to put bub down when you're in the same room during the early days.
A baby bath (if you don't have somewhere to bath bub and you're not confident enough to shower with him/her)

I am sure there is loads more... my brain just isn't working atm (fighting to get kids to pick up after themselves... grrrr)