It's interesting how the things that each girl wants really tells us about their likes and dislikes, and even their personalities.
Meg March, the eldest, simply shook her head, thinking of "all the pretty things she wanted." She is, of course, rather vain, and she feels deprived of pretty things in her life.
Jo March, the second eldest sister, wants to buy herself a copy of Undine and Sintram, a German romance in which a water spirit marries a knight in order to acquire a soul. It was very popular in the mid-nineteenth century, and it sort of nicely foreshadows Jo's future (though I won't say too much on that score since you may not have finished the book yet).
Beth March, the second youngest sister, was hoping to buy new sheet music for the piano. She loves to play the piano so very much, and this hobby is her joy and respite from the world throughout the book.
Amy March, the youngest sister, wants to a new box of drawing pencils, as she is an artist.