Slip-joint or regular pliers - These are your power grippers, used for bending. I prefer slip-joint pliers because I can use the open space to bend a second ring while holding a ring in the grips. Good for speed mailing.
Variable-speed drill - Used for coiling wire into rings. Making your own rings is always cheaper, but if you're after fancy colors or exotic metals, try the Ringlord for your rings.
Round Bar - Use this to make your mandrel ($3.75 @ Home Depot); 3/8" diameter is a good standard size. Get the galvanized steel one; aluminum is too soft and plain steel gets very dirty - galvy stays fairly clean.
Leather Gloves - Double-palm heavy duty ($5.75 @ Home Depot) are vital for winding rings with a drill.
Wire Cutters - I use H.K. Porter Wire Cutters ($11.74 @ Home Depot) for 14-17 gauge wire. Pinches the wire a bit, but it's very fast.
And, of course...WIRE!
Home Depot has good galvanized steel wire which will suffice for most projects.
14 gauge Ook Wire, 100 ft. - ($6.29) More authentic-looking, but will wear out your hands quickly, not to mention heavy! Yields about 600 rings.
16 gauge Ook Wire, 200 ft. - ($6.29) A bit thinner, but easier to work with. Yields about 1500 rings.
17 gauge Electric Fence Wire, 1/4 mi. - ($17.55) Huge amount for cheap, good in smaller diameter rings, like 5/16" or 1/4".
18 gauge Ook Wire, 110 ft. - ($4.28) Good for smaller projects, jewelry and such. I wouldn't go above 1/4" rings for this, it gets flimsy. Home Depot has this in copper too, but it's really soft.
That's it! Now, let's get started.