Quite a multitude of accessories are available for your car stereo. Some of them are essential such as RCA cables and others are optional like wiring harnesses.
RCA Cables:
These are the cables required used to transfer pre-amp (line level) signals. Usually, you use this type of cable for unamplified signals such as the connection between your head unit and amp or crossovers/eqs. Its vital to find the correct thickness and shielding. The end connectors should be sturdy to prevent breakage from stress. There is a notion that more expensive the cable, better the sound quality. However do not spend more than $1/foot. You may need to spend more to get cables immune to noise if that is an issue in your car.
Speaker Cables:
When the line level signal from the head unit is amplified it becomes much stronger and requires thicker cable to carry it. This is even more pronounced for subwoofer wiring. Use something between 7 gauge and 1415 gauge wiring for subwoofers, nothing smaller. A lot of current has to flow through those wires. For tweeters and midranges thickness is less critical but still important to prevent leakage and contamination from outside sources.
Power Distribution Blocks:
Power distribution blocks make wiring simpler. You can run one thick power cable from the battery to the distribution block and from there you can use its multiple outputs for each component. A related item is a new battery terminal which allows easy connection of your extra power wire on the battery for the car stereo.
Capacitors:
Music is dynamic and its power requirements vary. Your car's electrical system may not be able to keep up with these variations in demand. A "stiffening" capacitor can aid this problem by providing more storage capacity for those high power transients.
Wiring Harnesses:
A wiring harness is for you if you plan to replace your factory head unit but still want to be able to reinstall it. These are specially designed for each model of car and allow you to disconnect your stock radio and connect a new head unit without cutting your original wiring. The wiring harness plugs into your existing wiring and allows you to connect a new head unit to the harness.