I was induced at 38+1, but bags were pretty much ready (bar toothbrush etc!) from about 35w.
Not sure if you're planning induction/section, but I found it helpful to have a couple of bags - one for my H, one for me, one for baby, plus a pile of things left at home in an obvious place.
My list was roughly this:
Baby
Nappies
Nappy sacks
Wipes
Cotton wool
Sleepsuits x3
Vests x3
Muslins x2
Hat
Scratt mitts x2
Teddy
Carrier bag (for dirty clothes!)
Husband (this was for induction, hence stuff to occupy him/me!)
Camera
T-shirt
Towel
Deodrant
Toothbrush
Soap
Magazine
MP3 player
Money
Phone and useful numbers
Drinks
Snacks (fruit juices, water, flapjack, fruit cake, sandwiches, mars bars, bananas, cereal bars)
Puzzle book
Lucozade
Me
Nighties x 2 (cheap primark ones with buttons on front for bfing)
Slippers
Socks x 2
Flip flops (v.useful in the shower)
Thin dressing gown
Pants
Mat towels (20)
Breast pads (20)
Nursing bras x2
Washkit (toothbrush, paste, comb, shampoo, deodrant, shower gel)
Lansinoh
Straws
Water bottle with sports cap
Tissues
Hairbands
Vaseline
Book
Hypo food (small oj cartons)
Medication (insulin, monitor, strips, lancets, needles, asacol)
Birth plan
Maternity notes
TENS machine
Snack and drinks
For bringing later
Car seat
Spare baby clothes
Spare nappies
Blanket/cardigan
Clothes for S to wear home