The first thing I ever got my little girl, even before she ever saw the light of day, was a little pink blanket. Six years later it's torn and ratty but she would be lost without it. Dad hit a home run on that one.
Let's make a bit of a correction to your question. The baby does not need anything. Its parents certainly do.
I would think something like an emergency diaper bag filled with little things they need and will not usually get as gifts: ~baby lotion ~baby oil ~baby powder ~baby shampoo ~cotton balls ~disposable diapers ~baby wipes ~two small toys like a plush or terry cloth rattle ~plastic trash bags (the small size) ~baby brush/comb
Then for the parents ONLY -- gift certificate for somewhere they like to eat as they will be too exhausted to cook at first. Not a restaurant as they will not leave the baby, but for a local diner or take out place so they can bring it home to eat.