These things vary somewhat by consulate, but you will most likely need:
a) your own birth and, if applicable, marriage certificates
b) your mother's birth, marriage, and death certificates
c) your grandmother's birth, marriage, and death certificates
d) your great-grandfather's birth, marriage, and death certificates
e) your great-great-grandfather's birth, marriage, and death certificates
f) your great-great-grandfather's proof of naturalization or proof that he never naturalized.
Frankly, many of these items d) on down are going to be difficult to obtain, and the likelyhood of date and name discrepancies is going to be high. By far, however, the worst is going to be item f - naturalization.
Official US records at the federal level - the United States Citizenship & Immigration Service (http:\\
www.uscis.gov) - do not begin until September, 1906. Finding records from prior years can be very, very, difficult.
And, worse than finding records proving the date of naturalization, is convincing the consulate that the person never naturalized at all. At the very least, you will need to provide multiple letters of "No Record Found" from state and local courts for every jurisdiction your gggrandfather ever resided in, and there is no telling what else the consulate might demand.