Setting up the nursery is just as much a part of the pregnancy process as morning sickness and weight gain. The nursery for my daughter isn't actually a room, it's more a section of a room. We live in tight quarters and this is the best we can do, and she's still so young, it's working out just fine.
Even in tight quarters we had to buy the same things my sister-in-law did, who lives in a mini-McMansion. The new purchases were a crib and a changing table. We also converted an old nightstand into a mini dresser for her. The crib eventually turns into a bed, when she's old enough for that. What we still need is better lighting, we just have the overhead light right now, and a rug...a pink rug. She's too young to crawl just yet, but I want the room (or at least her section of it) to be cozy. Her toys and books are currently stored in the living room, which is where we play with them anyway, so we don't need bookcases--and wouldn't have room for one anyway.
A few other things we have in our nursery is a small hamper for her laundry and a diaper pail. (Oh my gosh, her diapers stink!)
What's your baby's nursery like? Do you love it or do you want to do it over?