If you do copy personal materials, copy them onto a fresh USB stick and be up front about it, or at least keep the disk handy in case anyone asks and wants to review it.
There are certain things you may feel entitled to take that are in the grey area -- e.g., contacts you've made on the job. Depending on what country & state you're in, what kind of job and what kind of proprietary information agreements you have or policies the company has in place, different rules may apply. Consult a lawyer friend if in any doubt.
In any case my advice to you is not to risk putting yourself in a position where the company could ever claim either a) that you took proprietary materials to another company or for any use that did them harm, or b) that they have a claim to any of your personal IP or the value subsequently created from it. (Protecting against the latter, of course, requires that you practice good hygiene during your entire employment, not just before you give notice.)