Personally, McGee and I have really liked the
Petstages Puppy Cuddle Pal. It has a little sack of buckwheat tucked into a velcro pouch. You can microwave the whole toy for 30-45 seconds and it stays warm for about 45-60 minutes. That's long enough to feel like a littermate while she falls asleep, and keeping the tiny girl from getting chilled in my drafty house. I found mine at Petsmart for about $8 or $9.
Other than that -- I second what has been said. Food and food dishes, collar and leash, crate, blankies, toys. Also, though, don't forget to think ahead about treats for potty training, which I had to cut up much tinier than I originally thought. Most recommend hot dogs, mozzarella cheese, etc.
Today I am going to buy a bell to hang next to the door to help us with potty training. That's the one thing I didn't get before she arrived that I wish I had.