I also go on retreat every January. Even here in Calif it's cold in January so I always, always bring a homemade quilt to put on my bed. I also bring my own sheets -- they're provided but I like flannel sheets in the winter so I bring my own. Others bring sleeping bags. Also an extra pillow.
We do a block to draw names with and 50 blocks to share so they have to be on the list. And definitely chocolate as well as some food item to share like pretzels, cookies, fruit, etc. Meals are provided but everyone likes to snack.
Oh, and I bring my own chair. I'm short and those folding chairs just don't work for my back. If I'm going to be sewing all weekend I want to be comfortable. Walking shoes too --- we're out in the boonies. Also some bring a box of extra basic fabrics because someone occasionally needs just a tad bit more of a color. She's been a lifesaver in more than one retreat. Keep the list coming so I can add to mine.