A new person-to-conventions recently asked on rec.arts.sf.fandom "What do I bring to my first convention?" So I said:
Bring along a good imagination---that helps!
Bring money. There will be lots to buy in the dealers' room and plenty of fine restaurants nearby. Not to mention your hotel room. You'll spend more money than you expect to.
Bring a few books to get autographed, but don't go overboard. Some fans bring boxes of books and expect their favorite pro to sign them all (this is more of a problem at World Fantasy Cons, but I've seen some of this behavior at Worldcons, too). Some autographing sessions limit each fan to 3 books per author, so pay attention to this sort of limit.
Bring a camera. You never know who (or what!) you'll see. Photography is acceptable everywhere, except in the art show and during some specified functions (like the Masquerade).
Bring comfortable clothes---especially comfy shoes or sandals. You'll walk much more at a Worldcon than you'd expect to.
Bring common sense. Just about any "fan in trouble" problem I've seen during my 20 years of con-attending has to do with fans (or pros) not thinking through the consequences of their actions. You really don't want to go out of your way to cause trouble for the other con attendees or for the hotel or for mundanes in the hotel. (And this goes double for watching what you drink, ingest, how much you might sleep, and whom you might choose to sleep with (the operative terms are "moderation" and "safety" in these cases...).)
Bring aspirin and antacids, especially if you forget the "all things in moderation" suggestion...
Bring a sense of humor. Cons should be fun (dammit! ;-> ).
Bring a willingness to volunteer. Something over 98% of the labor that goes into producing a Worldcon is performed by volunteers. Even if you volunteer for a 2-hour door guarding shift somewhere, you're really helping to put on one of the largest volunteer efforts of the year. (Oh, and issues of moderation count double here. Some new folks overdue the work and forget the fun parts of the con.)
What not to bring? Hmmm...Generally pets are frowned upon, though some people bring them. You probably won't need a tuxedo.... (except for the Hugo Ceremony, if you want). As an asthmatic, I'd urge you to leave your cigarettes home, but...