Spanglemaker,
With my first, I wanted the cot and everything ready before she arrived, even though you don't really need it for the first few months. I would only get basic bedding, as its hard to know in advance whether baby would "prefer" sleeping bags or sheets/blankets or swaddle.
Never under-estimate how much cotton wool you will go through (most babies have very sensitive skin so wipes may trigger nappy rash at first) so buy in bulk! If you are like me, then breast pads (also in bulk) are a must-have although not vital straight away usually as milk takes a few days to come in.
I would hold off on the pump and bottles until you need them- you can always send someone out to get one (which is what i did). You would also need a steriliser if you go down this route (although some research says that sterilising isnt vital I find i have done it for the first 6 months just for peace of mind).
I agree- rellies love buying baby clothes so don't buy loads- just hat, scratch mitts, "going-home" outfit (although might be quite mild in May so nothing too heavy), sleepsuits, vests etc.
Baby bath isn't an essential- you can use a washing up bowl, or better still, we got one of those moulded bath seats so baby can go in big bath and you don't need to hold them as they wriggle around!
Other essentials are muslin squares- great for mopping up baby sick etc.
Also a baby blanket- useful when out and about for car seat and pushchair.
And (personally speaking)- dummies and nipple cream (lansinoh (sp)). great for if you plan to breastfeed and baby is just comfort sucking for hours on end (ouch!).
Sure i must have missed something.