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.

You can take away daily consumables, which you have used and which cannot be used again or given to others like soap, shampoos, shaving kit, sponges etc.
and you can also take pens, magazines and note pads.

I do suggest to take away towels if it’s necessary during your travel, because some of the hotels consider it as scrap. They won’t mind taking that with you.

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

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.

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

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.

Taking Complimentaries Home

I would say that it all boils down to how cheap you want to look, in the eyes of the hotel management. If you don’t care, and probably you shouldn’t, then there are some things you can take with you upon check-out.

Taking Consumables

As a general rule I would say: you can take anything that is single-serving. For the purpose of this answer, the definition of single-serving includes anything that, if opened/used, cannot be re-used by the next guest. Hence an incomplete list would include: soap bars, shampoos, sewing kits, shaving sets, shower caps, slippers, shoe buffing kits, chocolates, etc. Most of these items are often prey of serial collectors, in particular shampoo bottles and slippers.

Hotel rooms often also include branded material like pens, pencils, notepads, postcards, and the like. These can be considered as marketing material. Every time you use the hotel’s pen, for example, you will indirectly be advertising the brand. It is probably safe to assume that the hotel management will be OK with you taking such items with you when you leave.

The mini-bar is a completely different story. You can safely assume that anything in the mini-bar will be chargeable. Some hotels however offer complimentary water bottles to their guests. When in doubt, ask.

Recycling Plastic Toiletry Containers

You could also be fighting the recycling crusade, and using your ecological struggle within to justify yourself when taking shampoo bottles. According to this article:

I was shocked to learn that the vast majority of hotels in the US have no recycling program, meaning that untold millions of these plastic bottles end up in landfills each year.

Leave Towels, Linen, and Furniture

However, you cannot take anything that is not single-serving. This includes towels, bathrobes, coat hangers, sheets, pillow cases, etc. Towels and linen can be washed and re-used by other guests. Taking them would be considered stealing.

You cannot of course take anything that is part of the furniture, or the design of the room.

Here is a good read on the topic.

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.