Congrats to you on your little one on the way!
The main things you will want to start with are figuring out the main things:
Where will the baby sleep? (cosleeper, crib, in bed with you, bassinet, etc)
What type of diapers will you use? (cloth or disposable)
Is it a boy, girl, or a surprise? (when picking colors with clothing)
Since you are planning to breastfeed, will you need a pump to express milk?
A stroller and a car seat are must-haves. If you are budget minded, I would suggest getting a car seat that will fit your child for the entire time he or she needs a car seat (look for one that goes from 5 lbs to 50 lbs) such as a Britax Marathon, which happens to be like the Cadillac of car seats. It is very comfy and rates high on the scale as far as safety goes.
For a stroller I would suggest getting a cheap used one that will accommodate a newborn at first. When your baby is about 3-6 months old buy a stroller that will last until your child is 55-75 lbs. For a stroller up to 75 lbs get a City Classic jogging stroller by Baby Jogger. One of these will last until your child no longer needs a stroller. These are awesome! I wish I had bought one when my son was a baby! He is 5 now, and we rented one from Orlando
Stroller Rentals in March. I just bought a Maclaren Volo (up to 55 lbs) for our trip to WDW next month. When he outgrows it, I plan to sell it, as these have a really good resale value. I got it for $55 including shipping (cheaper than renting one!). The Volo also starts at 3-6 months. These are basically like high-quality umbrella strollers. They are easy to get around with and very compact.
As far as beds go, bassinets are a basic waste of money. The baby will not sleep in it for long (until he or she is about 3 months old). If you want to save money, buy a bed that will accommodate your baby from newborn until he or she is old enough to switch to a toddler bed. I will admit, I had my son sleep with me until he was 2 and a half, and from there went ahead and bought him a regular twin sized bed. He never had a crib or toddler bed. Toddler beds are a waste of money as well. If you really feel that you want to have one to use for the year or so your child will fit in one, buy one used. You can buy rails that attach to regular sized beds that serve the same purpose as toddler beds, and are normally cheaper. My son only rolled off the bed once ever in his life, when he was about a year and a half.
To save money, buy store brand. Store brand items are cheaper but have the same quality as name brand. My son mainly wore Wal-Mart's White Cloud diapers, as these fit him well and never leaked. All babies are different though, some brands work well for one baby but not another. For example, both times I bought Pampers they leaked. He had never had a leak with any other brand, but for some reason, they just did not work for him. Buy wipes with no alcohol or scent. No not buy baby powder. Buy only 1 bottle of baby lotion (I still have a bottle and a half of lotion that was never used). Buy combination shampoo and soap. Buy a mini bottle of Mylicon drops. You probably will not need them. If you do end up needing them, buy more. I had a bottle I never even opened that I ended up throwing away. You do not need a special rocker for the baby. If you have a comfy spot in the house to rock and to nurse the baby, use that. If you find you would prefer a rocker for the baby's room, get one later on. Do not buy a diaper genie. These things are useless unless you are lazy. Buy a small trash to put in whatever room you plan to change diapers in, and throw out the diapers every day in your main trash can. Wipe warmers dry out wipes and actually cause more harm than good most of the time. Buy a small pack of bottles (2-3 is enough). If you end up needing more, buy them later. Nursing pads, buy a small box. You probably will not need them. I used them 3 times in the 2 years I breastfed. If you find you need more, buy them later. Do buy a small bottle of Lansinoh ointment. That stuff works wonders when they get chapped from breastfeeding. The stuff goes a LONG way so a small bottle should be all you need. Buy a dresser for the baby that is big enough to last until he or she is an older child. This eliminates the need to buy a bigger one later. Do not buy a changing table unless you buy one used or get it free. These are another waste of money. They do make changing tables that can be screwed into the top of a dresser. If you decide you need one, get one of these for cheap. Only buy one pack of receiving blankets. People do always end up buying these as baby shower gifts, yet they barely get used. I used them mainly as burp cloths and to put under my son's bottom when changing him.
So basically, the general rules of saving money with a baby is to buy things that last a long time so you don't need to buy another one later and to wait until the baby is here to buy things that are not necessities. You can always go and buy those things if you decide you need them later, but it is harder to take them back to the store or maybe impossible, if you find you don't need those things after all.
Good luck!
And that was with my insurance! When I got the prescription they gave me 3 months supply, so I still have plenty, but just wanted to be fully stocked. I am going to see if this doctor will give me a new prescription for something that will be cheaper, but I know there ones that you can buy over the counter. 
We are so excited. As I was setting up her room yesterday it struck me that I hadn't bought socks yet! Don't know why it bothered me but it really does. So my question is...what are the SMALL things you need? And how many of each? How many onsies? blankets? socks? It has been 13 years since DS and I totally forget what I had for him. 
