I can't help much from a parents point of view, but from a NICU nurses point of view of what we see I migh thave a few tips.
Just how prem are you talking? 23 - 27ish weeks (in which case your friend is in for a very long haul)
or more like 28 weeks plus?
Really it all depends, ask your friend what she needs, or wait until baby is getting a little btter as if it's very prem then mum will have alot on her plate for a first few months - so just being there for her, taking her out sometimes, visiting etc are really helpful - also like Linzy said, offers of help and housework/meals are really helpful during that time too.
In terms of stuff for baby, baby will be naked up until it's old enough to go into a cot, as it's been said, really tiny ones have very delicate skin, then once they are around 30weeks plus it's also the fact that, well, they're in an incubator to help regulate their temp, so clothes will either mean they cook, or that the heat isn't getting to their skin - so clothes aren't used on baby's in incubators. So once it's in a cot it will probably need a few little, little clothes such as prem/size 00000, or 0000 (some babies are really long and skinny so do need the next size up) you can usually use hospital clothes but most mums do like to have their little things to dress baby in so they feel a bit more like it's actually truely now THEIR baby. good clothes to get are plenty of cotton things so that they can be layered to create warmth. Polarfleece sleepsuits aren't that good as yes they heat baby up but they don't breathe/regulate the temperature like cotton and babies tend to "cook".
Woolens are great as once in a cot they still usually need a fair amount of nice warm wool (real stuff, not acrylic) the suggestion of a nice throw etc would be nice as it's lovely to have their own blankie when they are up for kangaroo cuddles.
Another nice thought is a diary or keepsake baby book, as some mums find it helpful to write it all down day by day when things are tough and having a record of how far the baby has come is so very valuable.
Last but not least, the baby shower, can still come later - try waiting until baby is about a month or a couple of weeks away from coming home, and still throw one for her... as really, once baby gets growing, it will still need all the same stuff as any other baby.... and waiting until home is kind of "visable" on the horizon for her means she won't be getting all these lovely big things at the shower that she can't quite use yet.
hope that helps.
Edited by mum2paris