My husband took all our documents with him to the interview -- copies of all forms submitted (including the I-130, I-864 and DS-230,) receipts for all payments, copy of marriage certificate, plus evidence like a sampling of photographs, correspondence, phone bills, etc. He carried it in a briefcase. He could see the consular going through our file as she did the interview -- it had everything we had submitted including our passport-type photos on top.
The officer didn't ask to see any of our additional evidence -- no photos, nothing. The actual interview only took about 10 minutes -- he was in and out of the consulate in less than half an hour. But you know Murphy's Law -- I worried that if he didn't bring everything, for sure they would've asked for whatever he didn't have with him. Better safe than sorry -- you sure don't want any additional delays if they happen to lose something.
Best of luck for an easy time getting into the city, and a short, simple & successful interview.

-MK