Bring a jacket, and warm work out clothing. Since you're coming from CT that should be obvious, but I saw a couple candidates rocking their dragger's uniform jacket with cargo shorts last CVW because they didn't bring weather appropriate clothing.
For clothes to wear during the day, be sure to look nice. You don't need to be all dressed up in a suit and tie, but be comfortably presentable. Remember you're going to be walking around the Yard all weekend.
Don'ts would include varsity letter jackets (no one cares), Naval Academy attire (yes, we know you want to go here), clothes for other colleges (hey, I thought you wanted to go to USNA), etc.
I'm not sure what they told you re. bedding, but some wings get colder than others at night. I'd suggest a sleeping bag and a decent pillow since the cots you guys sleep on are...lacking.
Bringing food, candy, etc for your plebe is fine and they will appreciate it. If you come to my company, make sure to bring some baked goods for the Operations Officer.