Pots and pans - just a few, but enough to cook with. You'll probably end up sharing.
ID. ID, ID, ID. Even if you've never had a problem. Even if you're a pensioner.
Coat hangers
Bedding, including duvet and pillows - if it comes to it, though, you can rent it from the Uni.
Fancy dress!Quite easy - your pyjamas!
Food for a week - there's a supermarket on campus, but it'll bankrupt you. But don't worry, if you run out there will be trips to other supermarkets in the area, see the schedule for details
Anything else you can't live without.
Cash - the cash machines on campus run out within a couple of hours of the start of Freshers Week. They'll be restocked, but it's good to be prepared.
Many passport sized photos. 7 or 8. Everyone wants your picture - departments, colleges, NUS, everyone. If you can't get them beforehand, there's a machine by the Student Centre.
LEA funding/Student Loans Company letters. It should go straight into your bank account, but any problems you find will require these to solve.