New cruisers don't get lanyards for their keys, so if you want want, then bring it with you. You can buy them in the shops, but not until the shops open (6pm on the first night, when you're at dinner or watching a show) and they're pricey compared to what you'd pay before you go.
The walls are magnetic! Bring a magnetic clip and an old card of some kind to use for the lights in your room. Otherwise, you'll have to use your key.
If you like to collect paper stuff, then bring a folder to keep it neat. It's good for port arrival forms, menus, midship detective agency, and so on.