The weather in Sapa is rather unpredictable and it could start storming very suddenly. Waterproof jackets or ponchos are a must - though you could pick up disposable ones from the market at 5000 dong (US$0.35).
It gets quite chilly in the evening once the sun sets and the mist descends, so do have enough warm clothes, particularly in the winter months when the temperature can go below freezing. In fact, Sapa is the only place in Vietnam where you can see snow!
Toiletries and Medical Supplies: For those planning to go hiking and are umm ... not terribly fit, you may want to bring along muscle rubs and balms to soothe your aches and pains that will invariably result.
You definately need hiking boots and rain gear to explore the area around Sapa.
Except for brief periods in the summer Sapa is shrouded in fog and rain for at least part of the day so be prepared so you can enjoy your trip.
The trails are steep and muddy so you'll need a good pair of hiking boots with good traction and ancle support. If your caught there without hiking boots, reasonably priced rain boots are available.
Rain gear is also a must. I would recommend rain jacket AND pants. The town does offer a wonderful array of inexpensive rain jackets. I got a combo pauncho and jacket for $2 there that I will be using on other trips...