My daughter will be returning to college as a Junior in the fall, so we've accumulated most of the bigger items that she needs. During the summer, I usually just pick up toiletries and other incidentals while out shopping so she will be ready by the end of August. Then on move-in day after the car is unloaded, we'll go to the grocery store near campus to pick up snacks, etc.
I was in Kohl's store yesterday and they have a nice selection of bedding (complete bed-in-a-bag sets) geared for college students.
Below is a link that I referred to while shopping for my daughter's freshman year. It is a packing list and I think that every item imaginable is on this list. (It also includes many items needed if your student is going to be in an apartment.) Happy shopping, all!
http://www.geocities.com/CollegePark/1150/list.html