I don't know that you need to bring much with you. If you are on meds, a list of those and the name and number of your doctor might be helpful. Otherwise, I'd let the therapist lead the way. Any therapist worth their weight will be able to conduct an initial interview.

If you want to write up a quick timeline of events, that could be helpful. You could also write down a goal or two for therapy.

I remember I had to fill out a questionairre that addressed many of those points. He used that form as a jumping off point. Remember, Rome wasn't built in a day. You won't get to everything you want to cover in the initial session. It takes time. Good luck to you.