You guys need to watch out for Shane Smeltz of NZ. He's a very dangerous striker and scored two goals past Buffon when Italy beat New Zealand 4-3. He plays in my countries league (A-League) and basically scores a goal a game. Great finisher, and he was wanted by some Turkish teams last year.
Their other important players are Chris Killen (Celtic), Ryan Nelsen (Blackburn) and Leo Bertos. They are by no means world beaters, but have some decent quality and you shouldnt underestimate them, although I'd say Bahrain are definitely the favourites.
EDIT: Oh yeah, NZ beat Jordan 3-1 in a Friendly yesterday and I believe Smeltz scored a double.