For video, you need an HDTV and media sources like a DVD or Blu-ray player, HDRV programming (cable or satellite), or a video game console.
For audio, you need a home theater receiver to give you surround sound plus speakers and a subwoofer.
The receiver acts as the control center for audio -- it processes audio signals, amplifies them, and sends them to your speakers. Some people use their home theater receivers to manage video as well as audio. By running all your video signals to a receiver, you can make a single video connection from the receiver to the TV. It's a great option if you want to connect multiple sources, like a cable box, a Blu-ray player, and a video game console or two, to your home theater system.
You'll need cables -- speaker cables, audio cables, and video cables -- to hook all this equipment up.
In the nice to have category are power protection (you want to safeguard your investment, right?) and a universal remote to replace all the remotes that come with each piece of equipment and save your sanity. Nothing like standing in front of the TV with a fist full of remotes and no idea which combination of them actually turns it on.