Luggage and bags:
Duty free on the Helsinki-Tallinn ferry so dont buy more than you can carry.
Clothing/Shoes/Weather Gear: Bring some decent shoes. You can get an excellent pair of boots for about €30-40 in Tallinn, that would normally cost about €65 in the British Isles.
Clothing/Shoes/Weather Gear: Good shoes are the key to walk around all over the city without much pain. If you can get also foot massage later in the eveing, that will be extra, but don't count on it ;-)
Clothing/Shoes/Weather Gear: Snow is nice, but not when it's not cold enough - then it just turns into mud. Take care when you are walking close to a busy road!