There's a lot of good stuff to be found in those cheap Wal*Mart kits if you're looking for a basic kit; I got the Johnson & Johnson one, and added/took out what I needed. Most of the items I pack go into one of two categories: general first aid or trauma stuff. The general first aid would be covered greatly by a pre-packed kit like the one I got: you got your variety band-aids, single-use diarrhea/fever reducers/pain killer pills, and antiseptic wipes, dressings, etc. I usually add more 4 x 4 sponges and gauze rolls. +1 for the transpore tape, the stuff is great and much better than what usually comes in a pre-packed kit.
For trauma bags, I build it myself. I pre-pack everything and label it with a marker; this is where my vacuum food sealer gets a workout! I'll pack a gauze roll with two 4 x 4's and a couple antiseptic wipes and label it as an abrasion kit, or an abd pad, 4 x 4's, butterfly sutures, and wipes to form a lac kit. I do this so I can leave a pack with someone if they only need to patch themselves and, more importantly, keeps the other stuff clean & sterile if my gloves are bloody.
The main thing is to keep it practical; I see some people waste a ton of space packing a BVM where a pocket mask would suffice. Also, Lorien has a lot of good things on his list, but for me, personally, most of those items are packed in my B.O.B.
*EDIT* I just saw what Skammer wrote, +1 for the gloves; I keep mine at the top of my kit so it's the first thing I grab...never know what's out there these days! I worry more about hep and MRSA than HIV/AIDS...
I'll start with a basic kit, a good kit bag, and also order from minimus.biz for the individual packets.