The easiest way to start your dorm list is to go through your daily routine and write down everything you need to do it. Starting when you wake up, you brush your teeth and maybe take a shower, then eat breakfast...This is a useful activity that will give you your very basic list, which should include things like toiletries, bedding, some dishes, clothes, and your laptop/iPod/latest technical gadgets.
The next step is to think about how living in a dorm would affect the things in your daily routine. For example, one of the handiest dorm room essentials is the shower caddy; you wouldn't need one at home, but these plastic buckets hold all of your toiletries so that you're not dropping things all the way down the hall.
Once you've thought about how living in a dorm setting would affect your activities, add a roommate to the picture. What would you need to get (or leave at home) now that someone is living with you? A good dorm safe would probably ease your peace of mind, particularly if you have never met your roommate before. Headphones are definitely a dorm room essential, even if you bring your stereo, because your roommate might not want to listen to all of your music.
Next, take into account the limitations you have in a dorm. Most college dorms provide loft beds or bunk beds for you, as well as a desk and chair - so if you want to buy furniture for your college dorm room, you'll have to work around those pieces. (I would strongly suggest buying a chair - the dorm chairs are usually pretty uncomfortable.) One of the big changes from home is that most dorms do not have carpet - and getting out of bed on a winter morning can be hard on your feet. I would suggest getting a rug for your dorm to avoid this problem.
One thing that most people don't think about is dorm bedding. Much of the time, you can't just bring your bedding set from home, because many dorms have extra-long mattresses that won't fit traditional beds. Check with your school to see if they have these; if they do, you'll have to purchase extra-long dorm bedding yourself.