For me it's my Fitbit because I have my medical band attached to it and when I'm out, I feel better knowing that if something happens to me, the EMTs can see all of my allergies.
Depends on the day really. If it's a day I don't stray far from home then not much aside from maybe my house keys and phone. My phone case also contains things like my driving license, credit cards and a small amount of cash in case I need to buy something and they don't take my cards.
If I'm striking out further on foot I'll usually have something to protect myself if needs be and, depending on how well I know where I'm going, some kind of physical map and maybe a basic first aid kit. Having a bit of cash on hand also means if I do need a bailout ride I can offer someone money to take me home or back to my car, rather than appealing to a stranger's good nature to drive me many miles out of their way.