Items are extremely important. Make sure to have a good stock of them throughout the game. This makes sure that you can save your MP in critical times by using an item instead of casting a spell. Tents are probably the most important item. Keeping your health full is always a good thing.

Item Name
Cost
Effect
Location
Star Pendant 4000 Protects against Poison Exchange for Item Coupon B in Shinra Tower
Talisman 4000 Spirit + 10 After defeating H0512 in the Shinra Tower
Protect Vest 3500 Vitality + 10 After defeating Rufus on the Shinra Tower Balcony
Poison Ring No Cost Absorbs Poison Attacks After defeating Motorball on the Midgar Highway
Power Wrist 7500 Power + 10 After defeating Bottomswell in Junon Harbor
Silver Glasses 3000 Protects against Darkness Town of Junon
Headband 3000 Protects against Sleep Town of Junon
White Cape 5000 Protects against Frog and Small After defeating Jenova-BIRTH on the Shinra Boat
Fire Ring 8000 Nullifies Fire attacks Basement of one of the houses in Costa Del Sol
Fury Ring 5000 Automatically casts Berserk every battle Town of Gongaga
Fairy Ring 3500 Protects against Poison and Darkness The caves in Cosmo Canyon
Jem Ring 7500 Protects against Paralyze, Petrify, and Slow Numb After defeating Scorpion in the Nibelheim Mountains
Earrings 7500 Magic + 10 Rocket Town
Choco Feather 10000 Dexterity + 10 Town of Wutai
Peace Ring No Cost Protects against Berserk, Fury, and Sadness After defeating Rapps on the Da-chao Statue
Champion Belt No Cost Strength + 10, Power + 10 Aquire 16,000 BP at the Battle Square in the Gold Saucer
Ribbon No Cost Immune to all status effects Door 5 in the Cetra Shrine
Water Bracelet No Cost Nullifies Water attacks Corral Valley
Hypno Crown No Cost Increases chance of Manipulation The cave in Corral Valley
Safety Bit No Cost Protects against Sudden Death, Petrify, and Slow Numb Great Glacier
Reflect Ring No Cost Casts Reflect in battle After defeating Jenova-DEATH in the Whirlwind Maze
Ice Ring 8000 Nullifies Ice attacks After defeating Chekhov in the Mideel shop
Amulet 10000 Luck + 10 Town of Mideel
Bolt Ring 8000 Nullifies Lightning attacks Town of Mideel
Tough Ring No Cost Spirit and Vitality + 50 Steal this from Reno in the Midgar Sewers
Tetra Elementa No Cost Nullifire Fire, Ice, Lightning, and Earth attacks, and converts them into HP Final Dungeon
Sneak Glove No Cost Increases your chance of stealing The Weapon Shop in the Sector 6 Slums
Cat's Bell No Cost Restores HP as you walk Chocobo Races in the Gold Saucer