Oh, and I've heard people say consumables make a big difference, but so far I haven't been feeling like I am missing them... I'm a fairly conservative (defensive) player and tend to play on small (4 or 6 player) maps so teleport is less necessary
Consummables are really dependant on the game. I generally go without any. Occasionally I will buy a health poition (matched against 2 regulus or some other equally non-sensical bullshit).
I would like to say though, the teleport scroll can be absolutely invaluable. Everytime I am leaving the base I always check and see if I should by one to get back to the field ASAP as oposed to taking my time. Often you can teleport and get a kill/push a tower/save a tower/save a teamate/grab an important flag or any number of other useful things.
NEVER underestimate teleports. Obviously, the larger the map, the more imoprtant they are.
Right out of the gate they can be even more important ensuring your team grabs the important flag (Health Crystal, EXP) that can make a HUGE difference on that particular map.
On Topic:
In almost every game I play, I find a mageslayer in my inventory. It is the first really effective artifact you can get and generally doubles the power of your character. I really feel they need more 8k artifacts. I think 3 or 4 at 8k (not 2) that are just as effective as the mageslayer is for DPS demigods is certainly in need. Id like to see the Heart of Life get a slight buff to its passives and be moved to an 8k artifact.
Vlemish Faceguard. As was said, best Mana/gold ratio you can buy.
Gauntlets of brutality. If the character I am playing will be doing most of his damage with his base attacks it is a must have. Even then the very small investment of gold for +25 damage per hit always feels like a good investment to me.
Heart of Life, as I mentioned, its too powerful for its cost and the fact that it is now in the artifact store. In my opinion the most unbalanced item in the game. If your having trouble winning, start buying this and watch your game improve ten fold.
The last thing I almost always find ion my inventory is a way to speed myself up (boots of speed, wand of speed journeymans treads) OR something to slow my oponent down (wyrmskin gloves). If you plan on killing demigods, you need one or the other.