Here's what I have, so far.
- heavy jacket (I brought one in case the nights were really cold, but I found a long sleeved shirt and/or a light sweater was plenty to keep me warm)
- bug spray (seems obvious, but I met Burners this year who brought some, not realizing there was nothing alive for several miles)
- watermelon (everybody brings one, once..... and only once)
- food that makes a lot of graywater (pasta is tasty and easy on the playa, but it makes buckets of graywater each time you cook it)
- a large towel (I thought it would come in handy but never did - it's best to let your face dry in the arid conditions rather than bring a bulky towel to dry it off)
- a watch (gets dust in it, and besides, who cares what time it is out there?)
Useful additions will be edited into this list as they're brought up.