I've just finished buying for my first baby and I've bought:
Vests - short sleeves on arms & no legs, to be worn over nappy & under everything.
Sleepsuits - Long arms and legs - to be worn over vest, most likely in bed.
A couple of snuggle suits - Long arms and legs, fleecy material - to bring home in/ wear out when it's a bit cooler.
I haven't bough any pram suits, but I think they are similar to snuggle suits - i.e warmer and suitable to put over vests etc when out and about.
I also have some other clothes - leggings & dresses etc.
For the cot we have 2 baby sleeping bags, which don't require any blankets over, just adjust the amount of clothing underneath, and also some cellular blankets to layer up when not using sleeping bags.
I would suggest going to Asda and buying their newborn starter set (£7) which has 3 vests, 3 sleepsuits, scratch mitts, booties and a hat. We got one and it kind of indicated what we needed to get.
Also don't buy too much now as you have no idea how big your baby will be, we bought quite a few things, luckily most of it is 0-3 months instead of newborn/first size, as she is far too big and when she is born will most likely be near or over 9lb so wouldn't have fit into newborn sizes.
Good luck and if you have any other questions I can try and help as much as I can :)