Helmet (you can rent)
minimum 2 Pairs of Gloves
Some sort of Base Layer (top and bottoms) (long johns, Under Armor, etc)
Spare clothes in case you get wet.
When I went out for my first day I found I ended up with soaked gloves and I got snow down my back a few times when wiping out. I was glad I had spare gloves and a change of clothes to switch up at lunch time.