I bought maternity underwear once from a specialty store in Central. What a waste of money. They were expensive and uncomfortable.
Now well into my second pregnancy, I use old undies whose elastics have stretched out, or I buy some cheap cotton panties a size bigger than I usually take.
Maternity pads can be found in almost all major supermarkets and chemists.
As for the baby bag -- the first time around, I brought EVERYTHING. And even though I was in hospital for 5 days due to complictations, I barely used anything inside. Many of the online lists -- which are maybe written for Americans with big hospital wards and their own cars -- are a bit useless. Yes, some women like to have their favorite pillows, make-up kits, massage oil, imported bottled water, etc - but none of this is essential.
This time I am bringing one small duffel with:
1. HKID, wallet, hospital registration papers, birth plan, etc.
2. Undies, nursing bras, socks, long t-shirts. (They have gowns & slippers - never mind what they look like)
3. Maternity pads
4. Basic toiletries like toothbrush, toothpaste. No make-up or extras except for one lip gloss / balm.
5. Box of granola bars / crackers & cheese
6. 1 Kindle or iPad (instead of the PILE of books and magazines I lugged around last time)
7. Mobile and mobile charger.
8. 1 set newborn clothes / swadling blanket.
OK, it's not glamorous to wear their maternity gown, or to drink boiled warm water and eat hospital food. But my view is to be as light as possible.
When I husband arrived to help me check out, he brought me one change of clean clothes. And that was it.
Good luck!!!