Doing a seach will help you get a good idea of the gritty details of an AG setup. Try
http://brewiki.org/wiki/homebrew/moin.cgi/FrontPage for some good pics etc of different peoples' setups.
But basically you need:
Hot Liquor Tank (HLT): some kind of pot or drum that you can use to heat and store your mash and sparge water in. Plastic is fine but you will need an immersion element or such to heat them.
Mash/lauter Tun: some kind of insulated vessel like an esky or a gatoraide-style cooler. You will need a false bottom / manifold / stainless steel braid for it though so you can separate the wort from the grain. The pros and cons of these different lautering options depend on budget, sparging technique etc, so you'll need to do some a bit of research on it.
Kettle: Again plastic will suffice, but stainless steel is probably the go. try to get one that is around 50% bigger than your boil volume so you have some capacity up your sleeve (and also to minimise the likelihood of boilovers etc). You can use a gas burner or electric element - whatever floats your boat.
Chiller: Either an immersion chiller (see the link above for some good pics) or counter-flow chiller. The immersion one is more simple to build out of copper piping (which you should be able to get from the hardware store).
Fittings etc: a half-inch ball valve is a good thing to have on your mash tun so you can regulate the run-off rate (if fly-sparging). If you have a s/s pot you will need to get a ball valve for that too. You will need pvc racking tubing as well.
As usual I have probably forgotten something, but that should get you started anyway. Its great fun putting together an AG setup. Good luck! :super: