Some of this is what my friends and I either had or are brining next year.  Lets start with the more common stuff.
A TV
xbox/ps3/whatever you play (personally I don't)
A fridge with a freezer
OxiClean (it can get anything out of your clothes/sheets)
A fan
a lamp
a mattress pad
an external hard drive is a good idea
A decent chair (I have a beanbag rocker that I like)
Speakers (they don't need to be big, probably better if they aren't super loud, you just want them loud enough to drown out some sound)
Good Headphones
My dorm had a nice kitchen, but maybe a microwave if you don't
and brings tons of food and drinks
Now for the cool and less common stuff
golf clubs - college golf or dorm mini golf are always fun, and if you have one of those putt returned, that even better
a blender - great for making a breakfast smoothie or a margarita
a rug if you have tile floors
a futon or lawn chairs (mainly if you have a bigger dorm or suite and have people over)
a printer is good, not many people remember it for some reason, and it is definitely worth it
an iron is good unless you want to have to fold or hang your stuff as soon as it dries
coffee machine if you have early classes and don't want to buy it
thats all I can think of right now, but I know i'm forgetting a few key things