Keep in mind that you can find most all (branded) things you need for baby, here -- but's it's at a premium, though. The locally made products are much less expensive.
For clothing, I agree with Rani, Stanley is great. You can also find one stall on Li Yuen Street (Central -- the lane/street across from the Lane Crawford) that has mostly Gap, Osh Kosh, some Polo, some LL Bean, and other non-US brands at great prices --they have a sister store in Stanley).
For baby equipment (like cribs, playpens, bouncy seats, children's furniture, exersaucers, etc., wagons, Little Tykes stuff, big toys) it is cheaper to get it in the states. By the way, they have mostly European size cribs, here. If you want a US standard crib, get the mattress and crib in the US (as well as all the necessary sheets, accessories).
You can have stuff made to order in terms of furniture/bed, though it's more costly than it is in Shanghai/Beijing.
Electronic stuff is just better to buy here, since stateside stuff you need HUGE converters to use them here.
Oh, they don't carry Children's Tylenol/Motrin, other over the counter stuff, Pedialyte, etc., though depending on your pediatrician, he can prescribe it for the most part. But I get all that stuff stateside. There are similar if not the same meds available, here. But again, it's just your comfort level. You just want to watch the expiration dates and not buy mass quantities, obviously.
Strollers are another item you might want to buy when you come here. Though there is more choice in the US, you do need to think about where you will be living and how you want to use your stroller. City living is not conducive to gonzo sized strollers. But then if you live south side, you can afford to have something larger. Oh, umbrella strollers are more cheap and available stateside. I've bought locally branded ones (which are more expensive) simply because the cheaper Kolkraft ones you see in the states are not available here. But if you know what kind of stroller you want, get it in the states. It's definitely cheaper.
That's all I can think of at the moment. As you have more questions, just air them, here on this site. The more specific the question, the easier to answer.
Cheers.
