There are lots of dorm essentials but those are tricky because you never know what they already have.
Consumables, however, are almost always going to be useful. On campus they aren't always easy to get, and if they are, they are usually expensive. Snacks and food are good ideas, as sheilamyers suggested, but you could also do things like soap, toothpaste, laundry detergent, roll of quarters, pencils, batteries, cleaning supplies, aspirin (or similar), bandaids, etc.
That maybe isn't the funnest gift, but I know when I was in college, those sorts of gifts were always highly appreciated. A gift card from their bookstore is usually a pretty safe bet as well.