Ever head out into nature without water? Hopefully not, but if you have, chances are you only did it once.
Water is one of those essential supplies, not only because outdoor activity can make you thirsty, but also because even if you don't feel thirsty you can still end up dehydrated. Dehydration, and the illness it causes, can really ruin a nice day.
In addition to water, and especially if little ones will be joining in the nature walk, consider bringing snacks (trail mix!). A hungry belly will cut a nice outing short when you need to go in and make a sandwich. Some other nature-walk supplies might include a towel, extra sunscreen, and antiseptic hand gel or wipes.
Being prepared doesn't only mean preparing for the possibilities. It also means planning the possibilities -- there's no time like a nature walk to learn a little something about nature, and that can take some forethought.