Congratulations qnd commiserations!
The prices over here are indeed high, especially in baby shops, I took one trip back to the UK and bought it all in one very expensive go! Check and see if there is a Relais Assistant Maternelles near you and ask if they are due to have a bourse (second hand sale) sometime or ask at the PMI.
The very large supermarkets sell everything and can be good value, some points to consider,
Microwave sterilisers are much cheaper than electric,
Baby monitors are not good for your nerves (you jump at every little squeak and small babies squeak continuously), if they cry you will hear them, I guarantee it!
French babies sleep in sleeping bags - you will be considered a bad mother if you use sheets & blankets and expose your child to the risk of suffocation
Don't waste money on a crib/moses basket, go straight to a cot - we use a cot bed so it last's longer. When the babies were very small, I put the pram bit of the pushchair inside the cot.
Electronic breast pumps can be hired from the pharmacie
Subject to resources the CAF will give you a payment of around 800 euros when you are about 7 months pregnant and thereafter about 170 euros a month till baby is 3.
Can you buy smaller stuff on line and get someone to post it on to you.
IKEA do some reasonably priced baby stuff if you like IKEA - their stair gates are very good value
Try www.babycentre.co.uk and visit their forum for families in France, loads of relevant info there