Seems like no one is giving you a direct answer, so i'll jump in here:
The only accessory that you NEED to walk out of the Apple store with is a screen protector. Cases are good, not 100% nescessary to get immediately though (this may be debatable), but the screen protector is 100% a must.
There are essentially 2 basic types of screen protectors that most people use:
1. "clear" type protectors
2. "anti-glare/anti-fingerprints" type screen protectors.
The advantage of the "clear" is that it's not noticeable on the screen at all, and it looks exactly like the actual glass screen. The disadvantage is that, just like the glass screen, it shows fingerprints like crazy.
The advantage of the anti-glare type protectors is that they don't show fingerprints at all. The disadvantage is that they tend to have a "frosty" look to them, which decreases the clarity of the screen a bit.
Between the two, it's PURELY a matter of personal preference. At the apple store, they sell the "Power Support" brand screen protectors. Power Support makes a "crystal screen protector" which is the "clear" type, and an "anti-glare" screen protector, which is, not surprisingly, the "anti-fingerprint" type.
A package, which contains 2 screen protectors, costs 14.95. If you can afford it, I would suggest that you buy one package of each. That way, you can try each one, see which one you like better, and if it turns out that you like the first one you try, you always have that 2nd protector to go back to.
My personal preference is for the anti-glare. I just can't stand the fingerprints on the clearer ones, and I don't mind the screen effects of the anti-glare at all.
A couple of extra points -
www.sgpstore.com sells the steinheill screen protectors, which are probably slightly higher quality than the powersupport, but powersupport are also very high quality, and they have the advantage of being sold at the Apple store, which is likely where you will buy your phone.
If you buy it at Best Buy, they sell the DLO brand screen protectors. STAY AWAY from those. They suck.
Now, there is a third type, which is the kind that requires a liquid adhesive to apply. They are sort of in between with regard to clarity and fingerprint protection. If you're interested in this kind, search the forums for "invisible shield, BSE, Bodyguardz and Clear Armor" these are all brands of this type of screen protector. People seem to prefer one brand over another, but there isn't much of a consensus on which brand is best. Personally, I like BSE. The invisible shield brand is sold at Best Buy, so if you do decide to get that kind, you can pick one up there.
Hope this helps.