In addition to the things suggested above, I really wish that I had gotten the final things finished that I'd need to make daily life easier once the baby was here. I ended up having my baby at 35 weeks, so I just wasn't ready yet.
Think about nursing. Where will you want to do it? Make sure there's some sort of table next to all the chairs you see yourself nursing in. If you don't have a cordless phone right now, get one.
You'll also spend a lot of time changing the baby, so get what you need to set up as many changing stations as you need. We have a changing table in the nursery, a pack 'n play with a changing table on it in the master bedroom (where baby sleeps), and a changing pad in the living room. Not only will you need a surface for changing on, but you'll need all the things that you use during a change. If you're using cloth dipes and wipes, some type of squirt bottle with water in it is good to have. I'm still looking for a really nice basket to hold everything for the changing station in the living room and wish I had done that sooner.
Also, this one isn't as major, but it took me a few nights to get a good plan for drinking throughout the night. Nursing makes you thirsty, and I don't like water out of the bathroom sink. Our master bedroom is upstairs, so I also didn't want to be going up and down the stairs all night. What I ended up doing is getting a 1/2 gallon Thermos. I fill it with filtered ice water from the kitchen each evening and use it to fill my glass throughout the night.
With all that shopping, you'll need to relax, so buy a cute cross stitch pattern to do while you sit. You can fill in the baby's name and birthdate after s/he's born.