preemie.com had some good preemie clothes for the early days.
I agree with a lot of the above. For example, we called the nurse every night before going to bed and first thing in the morning to check on DD and, if we missed the nightly "weigh-in" get her exact weight, which I recorded in a daily journal. I also agree with 2 visits a day, instead of one full-day visit.
If you're planning on breastfeeding / bottle feeding breastmilk, I highly recommend renting a hospital-grade pump from a local pharmacy while your baby is in the NICU. The NICU where my daughter spent 5 weeks had a few lactation rooms with pumps, which was great, but the hospital-grade pump was invaluable for home pumping, which I did every 2-3 hours around the clock, even setting my alarm to get up in the night.
Don't be afraid to ask for supplies from the hospital.... our NICU provided (if asked) breastmilk storage containers, and gave us upon discharge a whole bunch of diapers, a thermometer, a few burp cloths, a few bottle nipples, a nose suctioner, etc. It was a nice start.
If your hospital offers it, I recommend taking an infant CPR class before your baby is discharged.
Oh, also, I recommend making your baby's isolette as personalized as possible. We taped a special prayer card to the side of her isolette, which we recited to her every night before we left. We also had a couple of pictures for her to see, and I sang to her softly everyday. Mind you, I flipped out when they switched her from an isolette to an open bassinet on the overnight shift and didn't keep the prayer card (after many tears, the nurse was able to track it down for me in the sub-basement).
In your journal, keep a record of some of your favorite nurses' names and your baby's doctors. It's so easy to forget later on, but when they have the NICU reunions, you'll want to remember.
It's a scary experience, but boy it goes by quickly. Reading the above posts has brought back a wave of emotions!