You need to buy a special jacket and pants for skiing. Alot of them come with several pockets to keep you money and ski pass in.
You also need special knee-high socks. These should all be available in sport shops, but you can also find them in Austria when you arrive.
Snow boots are also useful, to avoid sinking :-)
UPDATE: everything I bought from sportsshops were available in the Ski resort..More or less same prices too, and there were sales..so don't worry if you don't buy your gear up front.
Ski Gear tends to be kind of pricey, and the better the quality the warmer you'll be. Sun screen
Lip Balm (I'm dark and got burnt!) Take a small digital camera. You can fit it into your ski jacket. Goggles/Big Sunglasses
Wool hat to warm your ears. If your not taking goggles, buy a string for your sunglasses... I broke my favourite ones when I kept them in my Ski pocket all day