I'm one for lists (bit of a control freak!) so here is mine from when we bought our first caravan last year.
Water Carrier
Waste Water Carrier
Electric Hook Up Lead (25m)
Gas Bottle (7KG) and Spanner
Hitch Lock & Wheel Clamp (essential requirement for most insurers)
Steps
Corner Steady Winder
Leisure Battery (110amp if having a motor mover)
Toilet Chemicals
Water Pump
Levelling Ramps & Wheel Chocks and blocks for under legs
Spirit Level
Small Tool Kit
Sleeping Bags or Quilts
Pillows
Melamine Crockery
Plastic Glasses
Cutlery & Sharp Knives
Scissors
Saucepans
Baking Trays
Kettle & Toaster
Tin Opener & Corkscrew
Salt & Pepper Pots
TV
Tea Towels
Dustpan & Brush
First Aid Kit
Awning & Groundsheet
Mallet
Some of these things you'll get with a new van - think that they have to give you the EHU lead, step and corner winder but make sure that you ask what's thrown in before you buy them. With some careful bartering, you might get lots of the other items too.
We prefer to keep bedding etc in the caravan over the season but you could, of course, just take your quilts and pillows from home. We bought some new items for home and put our old things in the caravan. Check oven size when buying bakeware and be aware that storage space for pans etc is often very limited.
There will be lots of things I've missed but this was just my starting point. I've still got a wishlist of about 20 items that we'll slowly acquire as finances permit! Gas barbeque is top of the list but we're making do with our old folding camping one for now.
Hope this helps.
PS Forgot to add - many bottles of wine!