Buy wooden, classic toys. SERIOUSLY. If it has batteries, your kids will outgrow it faster. People told me this and I didn't agree. Well its true. Lillian loves wooden blocks, legos, dress up, craft stuff, playdough and instruments. The same things our parents loved and we loved. TOTALLY worth only buying "classic" toys. Her other favorite is Little People. Not the houses or buildings or vehicles, just the people.
That said, she NEEDS the Leap Frog Music Table for when she's 8ish months old. Best thing ever. We had one for Lil and she still plays with it, and is mad we're "giving" it to Ellison for Christmas.
Baby Einstein and other "baby" movies...a total waste. THey don't need to be watching TV at this point, and if they're interested in the TV and you don't care that they watch, they will watch anything, not just baby movies.
When she is about 12 months she will "pick" a favorite blanket. Feel free to foster this by picking one yourself and giving it to her over and over and over. When she has a favorite, run, don't walk, to the store you bought it from (while its still in stock) and buy two more. Keep one in her bed, one in the car and one put away as an extra when one of the other two is being washed. BEST thing I ever did. (the blankets that I find hold up the best...4 years later...are a knit blanket. Think sweater type. Lil's have all been washed at least 100 times and look fabulous.)
If you are going to need blankets in the summer time, get Aden+Anias muslin blankets. They're expensive. And totally worth it. They are available at Target too or you can stalk them online and watch for a sale. BEST thin, HUGE summer blankets. Great for a cuddle, laying on the grass or covering the parts of the stroller that the sunshade misses.