For starters, proof of marriage, proof of accommodation and living together, proof of funds. Please check the Hua Hin/Prachuap Khiri Khan Immigration for the specific list of requirements. They might have additional requirements such as bringing a neighbour or village captain which is not required in some offices.
If you are flying into Thailand with your “retirement visa” from Italy, yes you need health certificate and insurance to get your boarding pass. Are there still flights from Italy to Thailand? If you are flying into Thailand from Singapore for example, you do not need those.