Buy the book Baby Bargains. Just make sure you get the current version! It is not just about bargains, but buying the best products for your money. They also have a very active message board I recommend, espeically when it comes to baby gear!
http://www.windsorpeak.com/babybargains/
http://www.amazon.com/Baby-Bargains...=sr_1_1?ie=UTF8&s=books&qid=1275939992&sr=8-1
I also highly recommend the book Baby Bargains. I liked it much better than the Consumer Reports baby book. Like the above poster mentioned, make sure you get the most recent edition of the book. I think I paid $9 or $10 for mine at
Amazon.com. It saved me from a lot of expensive and potentially dangerous purchasing decisions. It gives very good advice on which car seat, baby bed, mattress, high chair, etc to buy. It also gives a lot of good advice on what things are really not necessary at all.
Be careful of the brands you purchase, regardless of the cost. I've seen a gazillion people recommend Eddie Bauer products on various internet forums, but the truth is they're made by Dorel, a company that has one of the worst safety records out there.
You asked about a Pack & Play. I'd personally go with one of the models that has the changing table and bassinette attachments. My baby is almost 6 weeks old, and I use those 2 features constantly. What I don't use is the vibrating and music functions on the Pack & Play. Instead of ordering one from Amazon.com sight unseen, you might want to go look at them first at a regular store and write down the model numbers of the ones you like, and then price compare online. Graco is probably the most popular brand of Pack & Plays, but Baby Trend makes some really nice ones too that are a bit less expensive.
Don't be afraid to buy some items used (excluding the car seat and baby bed...too many safety issues and lots of recalls). I bought a papasan swing second hand, along with a baby bouncer, exersaucer, baby jumper, activity blanket, Bumbo, etc. I was careful about checking for recalls though. A lot of those items aren't really necessary of course, but I know I can easily resell them for what I paid for them.
Look for children's consignment sales in your area. We have a huge one here every Spring and Fall...there are 2 gymnasium sized building full of clothing, baby equipment, toys, etc. Just google "children's consignment sale" and your zip code, and you will probably find some info.
I know a lot of people like Babies R Us, but I personally don't buy anything there if I have an alternate choice. I think their prices are outrageous. You can find many of the same items at other stores for a lot less. For example, I ordered our baby bed on Walmart.com (with free shipping to the local store) for $90 less than Toys R Us wanted for the same one.