Fantasy world? I'd go to Greyhawk, either Bissel or Ratik, both of which are good areas, but seriously need some help, and hopefully wouldn't worry too much where it was coming from.
I'd bring a 9mm Glock and an AR-15, each with about 500 rounds, hoping they would work. I'd also bring a K-Bar, in case gunpowder is useless. I'd bring some sort of renewable power source -- either solar or a small generator that can run on low-grade ethanol, like whiskey -- with an outlet for AC and AC battery charger. I'd bring a Maglite, a digital camera, binoculars, and night vision goggles. I'd bring a high-end laptop designed for field use by oil companies (e.g., water proof, shock proof, etc.) with databases on agriculture, chemistry, chemical engineering, economics, and a general encyclopedia of some sort. I'd bring some of the books in paper form, in case Gygax's world doesn't allow computers.
I'd bring an original PHB, DMG, and MM, as important reference manuals, and to show the world -- I AM THE DUNGEON MASTER -- hopefully, owning the DMG makes you omnipotent? One can hope. And I'd bring electronic forms of 3.5e, because it would be fun to play with real characters (mages might even be into it) and I like later additions more now. But I don't know Pathfinder or 4e well enough to run them well, and you don't want people finding out you don't know all the rules if you're trying to claim you're omnipotent, so best for me at least to stick to 3.5e.
Oh, and I'd bring some tea bags . . it would suck to go into caffeine withdrawal right away.
Either that, or early WWII America, with some of the above items, and uncanny knack for understanding the future. I'd like to get a job as an OSS analyst, I think, and I'd invest my pay in shares of IBM . . . later on Apple, Microsoft, and Google, in that order. Then, in 2006, I'd move to Switzerland and put it all in gold.