I have been contemplating this question for quite some time now. When we think of an "alien," we automatically picture little green men with big eyes and long fingers and slits for a nose. This is a classic example of iconoclasm. Evolution of all life on Earth has been affected by all of earth's conditions and traits, so no doubt if aliens do exist, they would look a lot different from us. So, assuming this, then aliens would probably not share the same sensory organs humans do. We have eyes, ears, taste buds, noses, and mechanosensors for touch, but what would be another sensory organ? Keep in mind the following: they can work without the aid of another sensory organ, their sole purpose is input and perception, they work by tiny molecules and structures that send neural feedback to the brain which then interprets the info to generate perception. I'm trying to think of something that we don't already have, like something to identify magnetism, gravity, gamma rays, radiation, etc.

I want to know the answer too! (I've been thinking about it for ages along exactly the same lines, weird how the world works)

Thing is we have most of the known forms of information covered; electromagnetic waves (the light portion - eyes), temperature (thermoreceptors in skin and other areas), sound waves (ears), shapes of molecules and therefore the actual molecule (smell and taste), shapes of objects and pressure and therefore states of matter (pressure sensors in skin), balance (ears and muscles), magnetism (birds navigate with this), movement (air currents can be detected with whiskers)...

So unfortunately most of the known types of information are already covered in some way... but that's just the known forms, in time we may discover new forms of information that can be found from the world. Also increasing the sensitivity of the sensory organs is another way to go (we're quite limited in some of them); the ability to sense more acutely vibrations in the ground, the amount of moisture in the air, the ability to detect more molecules (by increasing the amount of configurations we can recognise like in smells), to detect a greater part of the electromagnetic spectrum... you catch my drift

I liked your idea about magnetism you would always have your personal own compass (a bit like birds).
Also expanding on the idea of magnetism the ability to detect positive or negative charges. If there was an organ which was very sensitive to this it could be applied to a lot of different things. I could give more information on different types of molecules and you could be able to detect electricity (in animals as well as artificial electricity).

Gravity - I suppose it would be useful in a very different environment where perhaps the gravity on their planet wasn't uniform (I don't really know how this would be achieved but maybe it's possible)

Electromagnetic waves - well we already have eyes which detect the light portion of it but the ability to see more of the spectrum would be useful. For example infrared radiation is always popular in science fiction aliens.

Radiation - when you say radiation I'm assuming you mean ionising radiation (alpha particle, beta particle and lower energy gamma wave radiation). A sensory organ for this I think would be extremely useful in radioactive planets

I couldn't really think of much myself so maybe someone with greater insight than me can help :p