Yes, you should wash baby's clothes, blankets, and other washable items that will come in contact with his or her skin. It's not necessary that you do it before she's born, but it is recommended that you do it before she wears them. The reason for this is that baby's brand new birthday suit hasn't toughened up yet. Her skin is sensitive and the finish that's put on new clothes to make them look cute enough for you to snatch up can irritate baby’s virgin skin.
But it's not enough to simply load all of baby's gear in the washer and toss in your favorite lavender-scented soap. You should be sure to use a gentle, baby-friendly detergent — one that doesn't include dyes or perfumes (scents) since those, too, can irritate skin. Whether you use a baby-specific or a gentle everyday detergent that omits these potential irritants is up to you. Either should do the trick. Some mommies double-rinse new baby gear. I didn't and my daughter never balked. But she surely would have if she had irritated skin. When drying gear, skip the fabric softener and dryer sheets, too.