Here is a list of items to have in your bag at all times. Some of these will be quite obvious and others will not. Don't mock the obvious ones because plenty of people who have run out of golf balls during a round. The items listed are all relatively light, take up very little space, and are useful tools when you're stranded out on the golf course with no other resources.

Things to Keep In Your Golf Bag
  1. Golf Balls - You should have enough golf balls in your bag so there is no chance of running out during a day when you lose a few or scuff them badly. What that number is is entirely up to you. If its more than a dozen though you should probably go back to the range for a while.
  2. Tees - A lot of times courses have tees available on the first tee. Unfortunately, you can't always count on that and sometimes they won't have tees that are the length you like. Keep a handful your preferred tees in your bag at all times.
  3. Ball Markers - These can be coins or flat ball markers. Don't be the guy who marks his ball with a tee.
  4. Gloves - If you sweat a lot you are going to need more than one glove when you play. Rotating between two or three gloves will help keep them all dry. Hang the gloves you're not using off of the side of your bag or your golf cart to help them dry out between shots.
  5. Sunscreen - Everyone forgets to put sunscreen on sometimes. Keep some in your bag just in case you do. Spray sunscreen is the easiest to apply in the middle of a round. You won't have to make your hands all slippery when you apply it. Make sure you remember to close your eyes!
  6. Rain Gloves - You never know when the weather men are going to blow it. Always have your rain gloves with you. They get more tacky when they get wet. They are light and take up no space and could save your round one day.
  7. Water Bottle - Those little dixie cups they have at the water coolers just don't get it done. Keep a water bottle with you and fill it up whenever you get the chance. Never pass up an opportunity to top off your water bottle as you never know if the next water cooler will be empty.
  8. Electrolytes - You lose a lot of salt and electrolytes when you sweat. Gatorade and other sugary drinks give you far too much sugar and not enough electrolytes. Ditch those drinks and go for the stuff your body needs. I prefer pedialyte. It comes in individually packaged powder form. Mix it with your water and it will taste great and replace the electrolytes you lose through sweating.
  9. Hot Hands - Cold mornings can sneak up on you. Even when its going to be a nice day, it can be chilly at daybreak and you'll want something to warm up your hands and most stores will be closed. Keep a few extra sets of hot hands available for just such a situation.
  10. Sharpies - Always mark your golf ball. If you don't currently put your own personal identifying mark on your golf ball, start. Sharpies are the best permanent markers for the job. The rules of golf require you to be able to identify YOUR golf ball without question. If you come up to two golf balls in the rough and both are Titleist 2s with no markings, you are out of luck. You don't know which ball is yours. Always put your personal mark on the golf ball with a sharpie so you can identify it.
  11. Alignment Stick - You can pick these up anywhere for a couple of dollars. They weigh practically nothing and will come in handy when you want to check your alignment on the range. You could just use one of your clubs but who wants to get their grips all dirty by laying them on the ground and spraying them with divots?
  12. Rain Cover - Once again, it weighs nothings and takes up very little space. The weather men are always wrong, best to have some lightweight insurance.
  13. Divot Repair Tool - You can do a reasonable job fixing a pitch mark on the green with a golf tee but its much easier to do the job with a divot repair tool. A properly repaired ball mark will heal much more quickly than one that is poorly fixed. Using a divot repair tool simply shows respect for the greenskeeper and the course.
  14. Snacks - Never let your blood sugar get too low. Dehydration and low blood sugar are killers to a good round. Make sure you keep snacks in your bag that are resistant to changes in temperature. Most protein bars are coated with chocolate and chocolate melts. Cliff bars are excellent because they can stand temperature changes but you need about a gallon of water to eat one. Almonds, beef jerky, apples, dried fruit, granola bars, and similar foods are the way to go.
  15. Pencils - Use pencils without an eraser so you don't look shady.
  16. Scorecard - Keep a standard scorecard for the course you are playing in your bag. They almost always have a number of useful things on them including pictures of the layout of the property. If you get turned around on the course or are confused by the wind, a scorecard can serve as a reference guide to get you reoriented with whats going on. Also, many par 3's simply have white or blue plates on the tee box without yardages. A simple check of the scorecard will give you the info you need. Without it, you'll find yourself guessing and frustrated.