I've been sailing for quite a few years. Over the past few years I have come across 3 great gadgets that I never leave home with out. OK, sometimes I forget them, but when I do I kick myself.
The first is obvious. Its a hand held GPS. I prefer a inexpensive GPS unit that is waterproof and has good battery life. This Garmin eTrax 10 was about 100$ at Cabela's. I'm never away from shore so far that I need to find my way back. Rather, I like to keep statistic on my trips, like my speed, distance and direction. There are a lot fancier units that would work just as well, but after dropping a few in the lake, I opted for the cheapest unit possible. This unit has a battery life of about 22 hours, so the two double a batteries will actually last you the entire season if you turn it off between outings. You can import most GPS tracks to Google Earth and save them, keeping a nice log of our trips.
Second is a hand held wind meter. My wife gave me a Skywatch Xplorer 3 for Christmas a few years ago. This hand held meter is good for measuring wind speed, air temperature, water temperature and calculating wind chill. It also has a built in digital compass. One can also hold it in the wake of your boat and check the water speed.
Knowing wind speed helps one to gauge ones sailing abilities and make wise decisions about when to take up arms against the weather.
I've had this wind meter for a few years now and haven't had to replace the battery. It's water proof and very durable.
Finally I always go sailing with my Leatherman Multi-Tool. I have a Leatherman Wave. It has a sharp knife, pliers, screwdriver, file and saw. Sometimes I have a hard time loosening the Shackles with my fingers and a pair of pliers comes in handy. I keep a small tool kit in my sail box also, but I like to keep my multi tool on the boat with an extra rope and some cord. The Leatherman is stainless steel, so it doesn't rust, even after many wet trips on the lake. On my Hobie Getaway, I stow all of this in one of the coolers, which don't make great coolers but make great storage.