Sheets: Obviously, you will be provided with a basic bed and a mattress, but you need to get sheets for the same. Most dorms are furnished with extra-long twin beds, therefore, ensure you buy sheets that fit.
Pillows: It is possible that you have a favorite pillow which accompanies you everywhere, But if not, then make sure that the pillow you choose is comfortable, and supports your neck and back properly.
Blankets/Comforters: Buy comforters or blankets, keeping in mind the weather of the place.