J.L.
My 3 y/o daughter has what we call Squishy, it's a micro-bead tube like pillow, and she has to have that (she's had it since she was a few months old). Her other must have is a 2.5 ft long stuffed hippo, and her pillow (with her tinkerbell pillow case...and i'll tell you she has to be right side up, if that image is upside down she will tell you it's not right).
Besides her must haves she gets in the habbit of "needing" to sleep with whatever she's into that day. It could be a pair of sun glasses, a toy, a stack of books, a pair of shoes, a plastic spoon, etc. The last few days she has been sleeping with a cup of goldfish crackers. She doesn't eat them, just cuddles the cup. Odd, but whatever gets her to sleep. =)