When you're budgeting, think about the number of times that you'll be doing laundry each week. If you have a washer and dryer, you can do the wash each day, and so you can buy fewer items. If you'll be using the Laundromat, you may want to stock up on washable items, so that you don't run out in between washings.
Look into borrowing things from your family and friends, or buying used items from thrift or consignment stores. You can usually find used clothing stores in the phone book. Remember that babies use items for such a short time that most things don't "wear out".
When your family and friends ask what you need, be honest with them. They would rather buy something you can use for your baby, rather than have you take it back after your delivery.
Hold off on buying items you won't need right away. Shortly before you deliver, you can review what you've received as gifts, and then buy those things that you need.
When you do shop for your baby, buy mostly larger sizes, like those that are marked 6-9 months. Babies grow very quickly. Keep all of your purchases in their original packaging, so that if your baby does grow out of something before he's worn it, you can easily exchange it for a larger size.
As you shop, remember to keep comfort and convenience in mind, over fashion. Soft materials that are easy to get on and off are more important than looks. And when you buy furniture for your baby, remember that safety and practicality are more important than style.