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[Bumber]

Fruit from the elves, meltable metal goods from humans, ores and bars and flux stone ordered from dwarves. I'm fond of nickel for magma-safe minecarts.

I mostly trade worn clothing and excess prepared meals.

[StagnantSoul]

I usually buy bitimous coal, gems, precious metal bars and ores, seeds, and fertilizer, as well as all the drink and sometimes fish. If they're a fruit bearing nation I'll buy any fruit that's good, usually it's not much though. Sometimes instruments are also a priority if I have a tavern but am feeling lazy.

[Quarque]

Another good use for trading caravans is to trade away any worn-out masterwork clothing, to prevent your clothier from going mad.

[wuphonsreach]

Anything that can be melted into bronze, iron or steel.

Spider silk (cave or giant), because it's a pain to harvest and I always need more.

Fruits, leaves, sometimes meat or fish, most cheese, any flour or sugar.

Gypsum powder.  Silk/plant/yarn thread.

Yarn cloth if I don't feel like raising sheep / llamas / alpacas.

Leather is cheap and kickstarts my leather industry.

Animals, to replace what I've butchered.

Starting in year 10+ when I'm thinking about a library, any codexes or scrolls or sheets.

[escondida]

In no particular order...

- Masterfully- and exceptionally-written books
- Paper, since the value seems to be lost when creating books, so ultimately quality doesn't matter
- High-value, exotic foods
- Non-local, preferably giant, animals
- Ores, bars, meltables
- Undyed thread (cheaper, trains local dyer, no crappy dye jobs)
- Gems
- Early on, leather, but quickly stop since one of the few mods I use makes raw leather into a glob, so you get more of it from larger animals.
- Sand or clay if not available locally
- Flux if not available locally

What's more important is what I trade away: vendor trash from the craftsdwarves, obviously; any furniture worse than exceptional; old clothes; and generally anything I want to get rid of and can sell.

[Thisfox]

 - All the drinks (for the sake of variety) including the milk.
 - Seeds.
 - Fruit and vegetables for brewing and for seeds.
 - Dye!
 - Bags.
 - Fabric and leather and thread. All the thread.
 - crystal glass and some metals I can't get, for moody dorfs with issues.
 - Caged animals for slaughter (leather and meat, also bones, moody dorfs like bones.) And if they're shearable animals, I put 'em in a holding pen and shear them before I slaughter them.
 - Sheets
 - Books/codices/scrolls. Even if I already have a copy of the text. Multiple dorfs are known to check out the same book at the same time. I guess I'm funding a dwarven book club.
 - If they're dwarven traders, and have the right sized garments, often a few nice bits of clothing.
 - A really nice expensive decorated chain and bucket, for making a fancy new well of high quality.

[PatrikLundell]

If I understand it correctly, moody dorfs will only demand clear or crystal glass if you've ever produced any in your fortress, and the same goes for specific metals (but not metal in general: they can mood for metal even if you've never produced any). Thus, I only need green glass.
I forgot to mention occasional shelled creatures from the elves to cater for the rare cases where the buggers mood for shells in embarks where there are no local shell sources.
When it comes to books, I never buy (or make) codices, because I strongly dislike how they're implemented (instead of saying they're a codex of a text of X, they're just physical descriptions of the materials they're made of, so you have to dig deeper to see what they're about).

[Jazz Cat]

Aren't codices bugged right now? Where binding a quire removes a bunch of the data about it?

[PatrikLundell]

I think codices are somewhat bugged as well. If I remember correctly what's been posted the value isn't computed correctly for one thing.

[gunpowdertea]

There's really very little you need to buy from the caravans, especially once you get a bit of experience with the game. Sometimes seeds if you don't have them already.

Well, you don't need to buy it, but I like getting some stuff I cannot be bothered to deal with, or that looks / sounds cool to have. And wood, but that is a behaviour left over from an older version ;p oh, and gems, and drinks, and war animals and ...

(plus you don't need to buy it, you can just take it ...  I like to play as "lawful good Dwarves", so I don't)

[Monomstodir]

Metals/wood/resources not available in my embark, fancier gems, exotic foods and seeds, drinks for variety and to build up my stockpile, bins of leather and cloth mefore my weaving industry is up and running, interesting animals (elves bringing me giant lions, tigers and grizzly bears are always welcome) books and scrolls, interesting instruments....

I don't really bother with weapons or amour - the quality is usually poor compared with stuff I can turn out. I generally sell prepared meals, low-grade crafts and furniture, and maybe worn-out clothes

[Fearless Son]

I tend to start on metal-poor embarks specifically to enjoy trading for melt-able items from the caravans, but otherwise only buy their food, thread, wood, stones, and glass.

I find this is necessary even if metals are present in local regions.  Just because there are ores that I can mine does not mean they will smelt into the kind of metals I may want. 

[callisto8413]

Fruit to make booze.
Booze.
Stuff (Leather mostly) to making outfits.
Weapons.
Sometimes wood and a anvil depending on the Fortress and resources available to it.

[Zuglarkun]

Leather. Because its easier to buy them in bulk from the caravan than keeping a meat and leather industry that potentially drains fps. Silk and wool also go in this category.

I replenish any raw materials I don't have on site that I want, as well as any raw materials I already have on site but I can never get enough of (precious metal and iron ores, flux, steel bars, sand, clay, magma proof rock of a certain color or type (bauxite, olivine, obsidian so that I can color code match my levers to my bridges), steel and iron stuff that have good yield when melting. This gives my furnace operators things to do and purchasing sand gives free bags too.

Meat, vegetables and fruits for variety.

Exotics like animals, featherwood, seeds that I can plant, gypsum powder.

[Bradders]

The first caravan usually arrives with a fair amount of useless trash, bringing goods that your fort does not currently have spare of.  After you specify what the next caravan should bring, you have a lot of control and potential Dwarfbucks to sink. There are a fair amount of raw materials I buy, because frankly there just isn't any other use for trade goods or 3,000+ cooked meals other than selling to the caravan, so turn the otherwise unwanted resources into Dwarfbucks into relevant materials.

I usually buy the more exotic food ingredients, as many of them are weird stuff you won't find on your embark, and the more of it you have the more likely some dwarf will find a meal s/he likes.  Raw materials that are otherwise hard to acquire in large quantity, like the more expensive leathers or GCS silk thread, uncut and cut gems, books and bookmaking parts, bags of flour and dye, breeding pairs of animals (ESPECIALLY GIANTS from the elves, WTB giant grizzly military companions), and anything made of iron or steel, which can be melted back down into useful items.

Maximizing the caravan delivery is almost a topic in itself, but if you order enough gems, expensive leather, GCS silks, platinum/aluminum/steel/gold bars, etc. you can get caravans hauling a half a million dwarfbucks worth of goods.  Note - except for the metal, all of those items are lightweight and high value - this lets the caravan carry more money for its weight.