Lots of black pens. Can't be any other colour because they scan them in. Also get a rubber, a ruler and some pencils (might need colouring pencils for geography, not sure)
For maths you'll need a compass, a protractor and a calculator. Your school might recommend a specific type of calculator to use so I'd check if they did before getting one.
For English get a big folder to store all your notes in. Your school might prefer you to use folders instead of exercise books but English was the only one I needed a folder for.
Not too sure on PE though, sorry :P