Certainly a MicroSD card with plenty of space on it (not less than 64GB). It works without one, but you need it for all downloads, updates etc. Of course, you should also buy a game, because the console is no fun without it.

Included is the console, power connection, ribbon adapter for the controllers, a module to unite the two controllers away from the screen and the dock with TV connection (I think HDMI cable was also included).