There are no "must haves", however many people will want a case or sleeve for protection. It's really up to you, they all pretty much do the same thing (protect your computer), it's really an aesthetic choice.
I bought this brown leather sleeve:
http://www.amazon.com/gp/product/B0085R315G/ref=oh_details_o03_s00_i01?ie=UTF8&psc=1
I think it looks nice and it is in fact genuine leather.
I also bought a Magic Mouse. The trackpad works fine, however I don't like pointing devices mounted on or in front of the keyboard. That's just a personal preference. From my observations, it looks like plenty of people are perfectly happy with their notebook's built-in pointing device, so it's definitely not a "must have" accessory.
As for other accessories, many people will want to project their MacBook onto another display, so your choice of Thunderbolt to (HDMI/DVI/VGA) adapter is up to you based on which devices you wish to plug into. I bought the genuine Apple Thunderbolt-to-HDMI adapter, and a cheap DVI one from Monoprice.
I also prefer to have the option of connecting to wired Ethernet, so I bought a genuine Apple Thunderbolt-to-Ethernet adapter.
For me, when I leave the house with my MacBook: sleeve, Ethernet adapter, HDMI adapter, mouse, charger. That's it.