Also, set a budget for it and double it. Buy quality equipment the first time and buy it over sized because you will up grade. I know what your thinking at this moment, but trust me you will up grade. Also, buy the best lights you can afford. look for used stuff on ebay and CL or local reef forums. They have great deals and sometimes people will donate to a new reefer.
Things you'll need:
Tank
Skimmer
Heater
Lights
Sump
Return Pump
Plumbing parts
Test kits
Salt
Live rock
Sand