What should you knit?
Beginning knitters should try knitting baby socks, newborn hats, and scarves before attempting more complicated works of art. Advanced and experienced knitters can knit anything. Good suggestions for newborns are wool longies, which are pants, cardigans, or ponchos. If you intend to use cloth diapers, wool cloth diaper covers are another great project.
Do you need a pattern, and where do you find knitting patters?
Whether or not you need a pattern depends on how experienced you are. If you like having patterns (because some knitters don't do well with patterns at all!), you can search for free newborn knitting patterns on Google. You should also take a close look at the websites Ravelry, Knitty, and Lion Brand. You have to sign up for these, but they are well worth it. Etsy has many knitting for sale. They can be quite expensive.
What kind of yarn should you use for a newborn?
For a newborn, the best wool to use would be baby alpaca, merino, or kid mohair. These are soft and don't irritate the skin much. Kid mohair is pretty hairy though, and visibly so, so some people might not like it for boys. Of course, you can also use cotton yarn. If you are intending to knit wool diaper covers for cloth diapers, you should use wool with a high amount of lanolin. You can also lanolize wool again.
Mind you, if you are making gifts for someone else's baby, remember to always inform the recipient that they must wash wool items by hand... or they will end up with "doll clothes"!