My Sony travel alarm & radio. Flips across time zones without having to actually change the time setting. Gets FM (NPR when in the US), as well as short wave (was handy for BBC when stuck in a remote backwater for a month). Love it.

It IS hard to name just one -- already editing...
I've got Sennheiser noise-cancelling headphones that I'd be sad without, too.

I'm sure I'll be adding...