Beware that many schools have rediculously anal policies about pocketknives. I've gottten in trouble for having a leatherman, which was confiscated(but thankfully I recovered) from the campus gestapo. Often people get busted for other things, like alcohol, and then get busted for something unrelated like having a pocketknife, especially if their rooms are searched. I'm not saying don't bring a knife, I'm saying be very discreet with it. By the way never keep a fake ID in your wallet, I know many, many people have been busted when they tried to get their real ID and the cops glimpsed the other one. Also FYI, you usually don't have to consent to a search.
Speaking of alcohol, don't be an idiot and drink too much, I've taken more students to the hospital for alcohol poisoning than anything else(I volunteered as an EMT on my campus). When you do drink, drink even more water. Don't join a frat if you have any dignity. And if beer is really hard to get(it won't be), and you have time for a hobby, and access to good stove, consider homebrewing. It's more expensive initially, but you'll make great beer, although you probably won't appreciate good beer until your a senior, if ever.
On to things to bring....
A bike, especially if you live off campus, but get a very good lock if not 2. Many people don't realize how easy it is to bike to campus, even if there are highways or traffic heavy roads in between. I can bike to campus faster than I can drive, and it's a great way to make up for a lack of excercise I sometimes have.
If you want to eat healthy and not the equivalent of fast food for 4 years straight, a fridge, some cooking equipment, and a simple cookbook. Don't rent a fridge if the school offers it, it's much cheaper in the long run to buy one, and it will be much better anyway. Just make sure it can fit in your car with the rest of your stuff, or you'll end up selling it at the end of the year. Make sure it has a descent freezer.
If you don't have access to a good kitchen, you can make do with a toaster oven, microwave, rice cooker, hot plate, etc. Most colleges ban devices with open heating elements, which includes hot plates and possibly toaster ovens. You can still bring them, if you don't draw too much attention your RA probably won't care. Either way, be very careful and never leave the device unatttended.
Try not to eat only highly processed food like mac&cheese, ramen noodles, and canned soups. You will destroy your health. Dining hall food is almost as bad. Try some fresh fruit, sandwiches, cereal, rice, or some real pasta. Canned beans and vegetables are less nutritious, but still a good option. Clif bars are great to have, for eating in class if you skip breakfast or as an energy boost between meals. Unlike most food in bar form, Clif bars are actually healthy, good tasting, and well balanced. I buy them by the box. Preparing healthy food in your dorm can be a challenge, especially if you don't have access to a kitchen, but it's not impossible.
A water filter pitcher, the bigger the better. You should always have plenty of water available, and there's not sink in your room. You don't have to keep it in your fridge. If the tap is fine, you could just use a large plastic container.
A good first aid kit is must, as are medicines for colds and such. Campus healh services usually has long waits and limited hours.
A computer is increadibly useful, for research, communication, and of course typing papers. But beware that you can waste a huge amount of your time in front of your computer.
shower shoes, definitely.
Lots of boxers and socks. But don't bring too many clothes, you won't wear half them.
Lots of patience for your roomate. It usually takes effort, on both sides, to get along. Good communication is essential. iIf they're doing something that really bothers you, let them know(in a respectful way), and make it clear that if you're doing something to bother him, he should do the same. Otherwise deep resentments will build up and you'll hate each other. But don't just complain, offer comporomises or alternatives. Also don't complain about minor things, you have to let the small stuff go. But don't let yourself be pushed around, or you'll be miserable. In any case, if you have roomate problems, you may be spending too much time in your room. Don't count on your RA for anything, in my experience their useless.
Speaking of your roomate, be sure to contact him before arriving on campus, if possible. It will help you coordinate which appliances to bring, so you don't have 2 of everything and no room. It wouldn't hurt to get to know him a bit, so it's less of a shock when you meet. Simple things like where he's from, what kind of music he likes, and his sleep habits will help you know what to expect.
FYI, you can get all the furniture, carpeting, notebooks, lamps, and almost any other dorm 'essentials' by dumpster diving or checking the halls and garbage rooms at the end of the year, from all the students who didn't plan ahead and have no room for the crap they bought. At least this is the case at my school, which is full of spoiled, wasteful, Long Island kids, and there is not good system to donate or recycle the stuff.
I guess this was more advice than a list, but I hope it helps.