In the game of Nethack, there are some things that while it is possible to do without them and still win the game, they are very useful in every day play.
A magic lamp.
As an endless source of light, the magic lamp cannot be beat. Turn it on and let it go - maps corridors ahead nicely. If it is blessed, then you've got a wish that you can use at some point later. Even without the blessing, it is still a nice thing to carry around.

A tinning kit.
So you happen to be playing a class that has food problems. Maybe you're not poison resistant or are a spell caster and burn through food rations as if they were candy bars. The tinning kit will let you preserve the corpses that you find for later consumption. Once again, if it is blessed it becomes so much more useful - but still, its nice to have.

A potion of booze.
There are few things better than drink while playing Nethack - always useful for that YASD. Still, within the game these potions are useful for confusion and identifying the violet gem 'amethyst'.

Wand of Locking and Wizard Lock Spellbook.
This is probably one of the most under appreciated spells and wands in the Nethack game that is not outright 'bad'. Simply, it makes a locked door in a doorway. While this is not something that is often done - more often than not we try to open or destroy these doors rather than close and lock them. However, running away a strategic withdrawal is a critical tactic in Nethack. The ability to put a locked door between you and the monster can be a life saver - and a cheap one at that.

If you're careful, it is easy to stay lucky in Nethack. However, a luckstone can help this and just give you that extra edge that you so often wish you had. On this note, the flint stone is also useful to have and know of. The flint stone, luckstone, and load stone all have the same basic appearance. However, the loadstone sucks to carry around because it is so heavy. Knowing of both the luckstone and flint stone makes it that much more difficult to accidently pick up a loadstone.