Things like towels, bathrobes and slippers are not there to be taken, they are to be left behind.

Small toiletries like soap, shampoo, lotions, toothbrush are yours to keep if you so desire. And while hotels assume a single guest will use only one set, they won't chase you down if you take the second set.

INSIDER INFORMATION: (I was front desk manager in luxury hotel)

1. Take Consumables - Shampoo/ opened soaps /used box of paper towels etc
2. Newspapers, marketing catalogs, guides, promotional materials placed by biz houses
3. Perishable food items which will be considered unusable even if you leave it there
4. Most items for kids - hotels know that it is very hard for parents to get them back from kids
5. Office items - Notepads, small stack of paper with hotel logo, few envelopes - placed there to enable guests to communicate. They are there for promotion of hotel too, as people will see hotel logo etc when you send it to them. Hotels love free publicity.
6. Directory of hotels from the same chain, if placed in the room. Hotel chain HQ supply them to franchisee hotel to promote other places in the chain
7. Very important: Even if it is not meant to be taken, like towel,pillow - with you and you want it, ask the front desk, they will mostly happily let you take it. A satisfied, repeat customer is an asset, they will want you back there. Management will consider it as a discount.

Apparently there are hotels that encourage and even make fun of it:

As there is a wide variety in things that can theoretically be taken from a hotel room, I'll restrict this answer to the items listed in the question (and to my limited experience in countries):

So for example you can get towels, slippers, candies, pens, shampoos, shaving kits, sponges, ...

Towels are usually exchanged during your stay, and reused across guests after laundry. They are not meant to be taken by guests. Clues to support this point:

• Hotels near the sea often explicitly point out in their hotel rules in each room that it's prohibited to take the towels to the beach, and usually it is also forbidden to take the towels to the sunbeds at the hotel swimming pool. Guests are supposed to use their own towels for that purpose.
• Essentially all hotels that I have been to, both in Europe and in Asia, made the procedure of exchanging towels quite explicit. While they explicitly speak about getting a new one when it comes to the other items you list (i.e. implicitly saying they don't care what happened to the old one), towels are usually said to be exchanged or replaced, thus implying that the new ones only come in exchange for the old ones (e.g. on the standard signs found in most hotel bathrooms that point out that only towels on the floor will be exchanged, and that you should save water and the environment by not requiring new towels every day).

As for the other items, they can usually be taken away. Judging by other answers and comments, slippers seem to be a special (varying) case, however, I personally only know slippers in hotel rooms from Chinese hotels, where they are most definitely one-way products.

For many of the remaining items, you need to consider the following: Maybe you have noticed that almost all of them, in particular pens, often also shaving kits and sponges (or their packaging), are printed with the hotel logo. That is probably not just to give you a feeling of corporate identity while staying within the hotel room, but, as always with low-cost items, for the advertisement factor. Especially the pens (and the paper often accompanying them) is expected to be taken away and used outside of the hotel, so the hotel name is spread (same as with all the pens that you get as gifts in other places). I think this can often be assumed for the other remaining items, too, and it also applied to the hotel slippers that I've come across.

I personally follow the general rule that, unless there are any explicit pricing signs for the items in the room, I usually take all of these items at least once during my stay, open or not. My suspicion is anyway that in many hotels, all items are thrown away when you leave, so the hotel doesn't risk leaving a used item (without any visible traces of the use at the first sight) in the room for the next guest.

The same in the self-service breakfast: pastries, bread, ...

I have seen many hotels (primarily, I remember this from various European countries) whose breakfast buffets have quite noticeable signs that it is strictly forbidden to take anything from the buffet out of the breakfast room. Obviously, the rationale is that guests who are paying only for breakfast could otherwise take enough food to also have lunch and dinner in the breakfast buffet, which is neither computed into the breakfast prices, nor is it the way the hotel would like to charge if guests actually do have lunch and dinner in the hotel.

In general, I would assume that you cannot take anything from the breakfast buffet for later use, even if it is not explicitly stated.

EDIT: One thing that I just remembered: Especially with "travel equipment" such as sewing kits (usually a piece of cardboard with one or two needles and a few centimetres of yarn), I have already considered those a service of the hotel for the traveller for the entirety of their journey. The chance that I have to sew something right when I encounter a room with a sewing kit is somewhat small, but the chance that at some point during my journey, I have to sew something, open the little sewing kit and once again am positively reminded of the fabulous service of the hotel I got the sewing kit from. Yes, those should be safe to take, as well.

I found the above answers to be unclear. So:

1) You can and should take as many pairs of the cheap slippers as you can grab (the single-use ones with a logo, wrapped in plastic). These are really handy and cool!

2) You can and should (if for some reason you want to) take all the toiletries: that is to say the small bottles of shampoo, etc., and similarly the coffee and other sachets.

3) If for some reason you wanted to, you can and should take all the stationery, pens, magazines.

4) You can't take the towels (today).

BUT it's a fact that if you steal (there's no other word for it!) a towel or two, generally nobody cares. Hotel towels cost nothing, they are crap. BUT it's true that in high end places, they are not crap and can be expensive: in those cases (in fact the only time you'd want to steal one) {setting aside that you're paying 2000- a night, so why the hell would you steal a towel?}, it's less likely you will get away with it; they tend to keep an eye on the towels to some extent.

(That being said, at some EXTREMELY high end places, they deliberately have a policy ... "we're so bad ass, we don't care about these 100 buck Frette towels - hell, take as many as you want! - just like in the old days!")

HOWEVER when I say "it's a fact that if you steal a towel or two, nobody cares", note however that when you stay in a moderate business hotel (an Ibis or something), they rather strictly give you typically two towels, no more or less, and they specifically want you to not steal them -- and they'll even sometimes check, and indeed maybe even charge you if one is missing.

{If you are dead-set on stealing the 50 cent towel-things from a chain hotel, the trick is this: while the housekeeping cart is in the corridor, and the cleaning staff are busy in another room, grab a pile of towels and put them in your room. Of course, it's OK to do this, you needn't "fear" being caught - it's just that you want more towels for your shower. (This is the first thing I do in chain hotels - who the hell can get by with the two miserable towels they give you?) There are then so many towels in your room, you can stash a few in your case with impunity! Hooray, you've pinched a 50 cent towel.}

Regarding "stealing" towels: regarding cheap towels: once or twice I've simply taken a towel because we needed it for some reason (say, help with a child in the car, for example). I didn't really consider it "stealing", i.e., if someone "had seen" I would have just said "look, I'm taking these towels to clean up the car".

And come to think of it, somewhat confusingly I took a towel, from somewhere posh once as a souvenir, kind of on the basis "if you spend 1000s on wine, that's fine, fuck 'em".

Note that (posher) hotels have a thing where they are very happy to SELL YOU towels (on the souvenir basis).

You see, historically, for younger people reading, you could indeed just go ahead and take as many towels as you want from the Ritz or wherever you stayed ("on the continent") as they were always plush, had logos, and were nice souvenirs. This is very much out the window today .. for some decades hotels would have a sign "We're very happy to sell you some of these great souvenir towels!" so as to politely remind you that you cann just take them, but they don't even bother any more: you just plain can't take the towels.

5) Hotel robes. This is the big one. A good robe is worth a lot of money and would cost you a lot to buy, at least 100.

In the "old days" at any great hotel, they'd happily give you a (beautiful) robe with a logo on it, it was a big thing and a great souvenir. Tragically those days are gone, you can't take the bathrobes any more. If you take one - very simply they will absolutely notice (just like if you took the TV set) and simply charge your card with no further comment. Note there's very often a little hang-card on the robes saying "If you'd like this great robe as a souvenir, just take it and we'll charge your card!"

For example, I went ahead and bought a 4 Seasons robe once (100, 200 or something) and it was my favorite bathrobe for years until it frayed away! Sad.

It's really one of the tragic things about modern life that even top hotels no longer give out bathrobes - you gotta pay and buy if you want one.

6) You cannot take sheets, and you'd get caught if you tried to.

7) You cannot take the TV, clock, etc.

Note that JoErNanO's explanation about

"single-use"

items above is spot-on. So (if for some reason you want to), take all the instant-coffee sachets, etc.

You can take the bible. The Gideons put it there for that reason.

I think the consumables in the rooms are well covered in the other answers. The thing I miss in most of them is the food at breakfast (and maybe other buffets.)

In Norway there are extensive breakfast buffets in hostels, when I was there most of those had a notice that you could eat as much as you liked but were not allowed to take food out of the room. Bad luck if you were a small eater at breakfast and liked a packed lunch. The way around that would be buying all your food and not to buy the hostel breakfast.
I feel the place is allowed to set its own rules. And I feel that these rules are sensible for all hotel and hostel breakfasts, maybe even for all buffet meals. Eat but do not take out.

Most hotels and many hostels will be happy to provide a packed lunch, most others will tell you where you can buy food. And when asked, some might even tell you it is OK to pack a lunch from the buffet.