Forgot to mention if its your first and you have a biggish circle of friends, don't buy to many clothes or toys. You will find you will be given these as presents when the baby is born and a baby can only wear so many of one size.

You don't usually get much bedding so have that before hand.

If you are going to breastfeed start buying breast pads as you will go through these, the same with disposables. (I found the ones from Aldi really good in both quality & price)
You could use cloth breast pads and cloth nappies if you wanted to save money. Have a look in the cloth nappy section if you want advice.

It feels like you are doing nothing but handing out money at this stage but once you have your setup you can reuse a lot of it if you have more.