I feel that it is really important to share the two things that made all the other sister missionaries in my mission jealous.
The biggest physical discomforts on the mission are your shoulders and back from carrying so much lovely crap everywhere, and your feet.
Number one - MY BAG.
Best bag ever. It is called the Osprey Flap Jill Mini, and it saved my life. I wish I could just have ten million dollars and buy every new sister missionary one of these bags! It is the perfect size, the strap has this comfy part for your shoulder, and it isn't dorky! It is waterproof, which came in handy many many times. It faded a bit by the end of two Sicilian summers, and the little buckle on the front broke after about a year of being clipped about 2876 times a day, but it was just the best. I left it to my last companion, and she still uses it every day. The only time I wasn't wearing it was when I was sleeping or cooking. BUY IT.
Number two - leather sandals. If you are allowed to wear sandals in your mission, get some good leather ones that you can also wear to church (this also depends on your mission president). I wore mine every day from the beginning of May till September, and they were NASTY by the end of the summer, but heck. One pair of shoes for all summer is great. I would put a picture of mine on here, but the church wanted them for the Church History Museum. (I told them no -- I didn't want to scare the children. Also anyone within 16 feet of them passes out because they smell so bad. Save the temple square missionaries! Don't display them!)
What else... I went through a few umbrellas, finally found one that was wind resistant and squished down small enough to fit in my bag. That was a good day.
Bring more clothes than they say. You get SO sick of them.
Bring nail polish. It makes you feel pretty, and its great for pranks.
Don't make one of those cereal box scripture cases. TACKY. And offensive.
Don't carry around more books than you have to. One BOM to give away, some pamphlets, a bible and some pass along cards. If you don't have what they want, its a great excuse to ask them for their address and offer to drop it by later!
You're awesome. Go and DO!