Mithril Mail:

The coat of mail Thorin gave to Bilbo Baggins. Bilbo afterwards gave it to Frodo Baggins. During the Battle of Bywater, the Mithril mail saved Frodo's life, for Saruman attempted to stab him with a knife. It saved him before this too, in the Mines of Moria, for an orc-chieftain had attempted to stab him with his spear. It was said to have a worth greater than that of the entire Shire.

The Mirror of Galadriel:

A mirror made of water which, under Galadriel's power could show visions of the past, the present and the future.

The Morgul-Knife:

The knife used by the Witch-King to wound Frodo on Weathertop. It was designed so that a wound to the heart would have slowly made the victim into a wraith. Once used, the blade vanished in the morning light, leaving only the hilt, which had writing on it. To an Elf, the hilt had an evil feel.

The Moon:

The flower of Teleperion. It was hallowed by Aule and is guided by Tilion. Other names for the Moon include Isil and Ithil.

The Master Stone:

The Master Stone of the Palantíri is a confusing item for historians in Middle-Earth. This is because there are potentially two of the stones that have this title. Also, none who are interested now have access to either stone.

The first, and the lesser of the two Master Stones is the master of the seven stones that were brought to Middle-Earth. This stone was placed in Osgiliath under the Dome of the Stars. The Palantir of Osgiliath was lost in the Anduin during the sack of the city.

However, the true Master Stone never left the Undying Lands. It is kept in the Tower of Avallónë in Tol Eressëa.

The Hobbit
The Lord of the Rings
The Silmarillion
The Complete Guide to Middle-Earth by Robert Foster
The Unfinished Tales