It depends on how you plan on using the iPad. I do a lot of writing with my iPad, so a good case that could prop it up at good angles with a bluetooth keyboard were essential for me (check out my hubs for a review of my must have iPad accessories).
I bought a few pens to use with the iPad to experiment with a few drawing/writing programs. I was surprised at how well they worked, so if you like drawing or writing with a stylus, I'd pick one up.
Screen protectors are good, but I have read elsewhere that it interferes with the quality of display with the latest generation iPads. As long as you clean the screen regularly, I don't think they are essential.
I would suggest the most essential ones are going to be a solid case to protect it while carrying it, setting it down, etc. Some of the adaptors to import photos from a SD card are good too.