There is not a specific thing that you have to take to Burning Man, but there are some things that you might want to take to Burning Man if you decide to go there. First, it takes place during the summer and it is in the desert. So, it is probably best to take some water or money to buy water because you need to stay hydrated. Second, you might want to bring sunscreen or something to block the sun because you will be in direct sunlight.
Third, you might want to bring shelter because you will be staying the full week at the event and you will need something to camp out in. Food is also important. It is best to bring some form of money so that you can buy food while you are there.