Bring lots of heavy extension cords, power strips, extra bulbs - you never know what you might need. Also bring wire, rope, twist ties, or something to keep the extension cords in place.
I'm so glad I brought extra lights to that market. It seemed like people were drawn to my booth like a moth to a flame. That cold, windy night I didn't do that well (it was way below freezing), but the next week, I did my best sales ever (by FAR!)
It's ok to be a little nervous for your first show, but I'm sure you'll be fine :)