My favorite "must have" piece of gear is my Golite Dakota Wind Shirt. At 4 oz, I take this running, hiking, backpacking and just whenever I think I might need something to take the edge off a cold day. Easy enough to stuff in a side pocket and light enough to not notice it's there. If Golite started making these again, I'd buy another.
My favorite "optional" piece of gear is my iPhone 5 (now 5S). Again, it comes with me when running, hiking, backpacking and pretty much everywhere. It has become my primary camera. While some people like to listen to music while running, I never listen to anything when I'm outside - I like the sound of my footsteps on dirt trails.