Patrick covered most of them, but if you're going to be hunting a lot in the woods or farm fields, a folding field shovel (also called camp shovel, entrenching tool, etc.) is exceptionally helpful. That's because stuff can get pretty deep, especially in farm fields where things get churned down by farm machinery. And in the woods there are tons of roots that a field shovel will slice right thru -- so digging with a hand digger alone can take 5-10 times longer, not to mention make your hands start aching pretty quickly. But fields and woods are really the *only* acceptable places for those -- never use one in a park, schoolyard, or on someone's lawn because it just tends to freak people out.
Don't mess with hand diggers from the lawn and garden store or the freebie ones when you buy a detector. By and large, they hold up for crap (they bend, they break), and they're pretty useless for anything other than loose, sandy soil if they don't have a good point and a serrated edge.
My digging tools are made by Lesche. I've been abusing the living crap out of them for 6 years now after spending my first season messing with the inferior ones, and they're still good as new.
I wholeheartedly suggest an electronic handheld probe. The first time you spend 10-15 minutes chasing around the teensy-tiny slug from a .22 in a heap of dirt without one, you'll never leave home without it. I've got an old Tinytec that still works great, but the beeping gets annoying and you won't hear the beeping if you wear muff headphones, so go with one of the vibrating ones. Vibraprobe makes a dandy new one for under $100 from many dealers out there, and it'd be money well spent.
I also use Walkman-style headphones (Koss PortaPro, $45) instead of the muffs because they're a ton lighter and cooler than muffs, and you hear every signal just as well with them. They have their own set of drawbacks, namely the fairly short spaghetti-thin cord, which means you have to be lots more careful in the woods or when setting your detector down), but they're excellent for the beach or open spaces.
Those are the things that have made this hobby more enjoyable for me personally. Try a bunch of different stuff and find what works best for you.
Scott