You will need a cpu block or gpu depending on what you want to cool, some hosing (masterkleer, tygon, xspc, DD) you will also need hose clips for holding down the hose against the barb, depending on the hose size sometimes these arent needed but recommended.
deironised water, can be bought anywhere but you also need anti corrosion adittives to stop corrosion and algae growth. Barbs, depending on the hosing size i recommend 1/2" hosing as its the most popular and best looking these days.
and some common sense, find out the correct order, as long as the res is before the pump you will be good but i recommend.
Res > Pump > CPU > Rad > Res
Any other questions feel free to ask, theirs plenty of people on here who watercool.
:edit: Most pumps are good these days, i recommend
Laing D5 Vario
Laing DDC (depending on how many loops) Ultra
i use the D5 and its a good pump