Some things you might want that are extremely expensive here:
Good mattresses - as someone else mentioned, if you think you want new ones, buy them before coming over and bring them with you
BBQ or grill -- gas or charcol grills are stupidly expensive here. If you're reasonably sure you'll want and you're reasonably sure you'll live in a house or at least a condo with a large balcony, bring one with you.
Exercise equipment -- if you think you'll have the space for it, treadmills, stationary bikes, stair-steppers, weights & the like are also stupidly expensive here
Cars are stupidly expensive here too, but unless you are a diplomat, you can't have a left-hand drive anyway, so nevermind.
I find women's swimsuits to be outrageously priced here and half the time they aren't even cut to fit 'western' bodies --- you know, women who have hips and boobs

A word to the wise -- Lands End.com will ship here & they have good swimsuits for the whole family, IMO.
I would agree with the previous poster about underwear and clothes - be sure to come here with a full supply of underwear and summer wear for each member of your family so you don't have to run around trying to find stuff right away. Then you can take your time finding places you like.
I like Splenda & it is s l o w l y making it's way here, but I've yet to see it for sale in grocery stores, so I buy it in bulk in the US when I visit and bring it over.
I don't have trouble finding things like shampoo & toothpaste here, but I don't think I've ever found unscented gel deodorant here so that's another thing we buy when we're back in the US.