This list goes roughly in order of importance (in my opinion). It really depends on what you want to do.

Camera: Any video recording device will do, be it a cell phone, digital camera, or high definition behemoth. It would be nice if it captured sound, but if not, just make silent films. If you are in the market to buy, I would highly recommend that you get a MiniDV camera. They range in price from $300-$3000.

Tripod: My mom found me a platic one at a garage sale for $5. Of course, you could spend hundreds of dollars if you have that kind of cash to throw around. What you ideally want is something that tilts and turns smoothly (such a thing can not be done with my $5 tripod). You can get a very decent tripod for $100-$200.

Headphones: You want a good, ear covering set of headphones that don't allow room noise in so that you just hear what's coming through your camera. I've seen headphones for $100. That's simply ridiculous. I suggest you buy Koss UR-20s online for about $20 with shipping (if you can find them).

Microphone: Here's where things can get tricky. If you're doing "man on the street" interviews, you want to get a Cardioid Mic, which is just a normal handheld. You can get one of them for $25. If you plan on shooting at home interviews or presentations, you are going to need a Lapel Mic, which is the kind that clips onto a tie or shirt. Wireless Lapels are about $250. But if you want to make a movie with dialogue, a Shotgun Mic would be really nice. These microphones are very "Directional", which means that they only pick up the sounds at which they are pointing, which is good when you just want to capture a person talking, but not be able to see a microphone. These microphones run around $300 and up. The other disadvantage is all the "support" equipment you need to go with it. Not only will you need the XLR cable (I suggest you get the lifetime guarenteed ones for $25 or more) and adaptor(s) ($15) for your camera as with the other mics, but you will also need a Boom Pole and noise reducing attachment, not to mention your Boom Operator on set. You can buy the pole (also called a "Fishpole") and head for tons of money from film supply stores, or you can go to a local hardware store and build your own.

Lights: If you're ready to make the plunge from your mom's floor lamps to "real" lights, I suggest you slowly wade in (unless you have a ton of cash to throw away, which I don't). So, I suggest that you purchase some clamp light fixtures with a reflective cone ($10 a unit) and some white spectrum light bulbs ($5 for four). If you're really in a spending mood, purchase a power strip ($3) and a couple small, lightweight extension cords ($3 a piece). Now you just screw in the bulbs, clamp the fixture to something (I use microphone stands that I got on sale for $20 a pop), plug everything in, and you have lights. You may need to diffuse the light, and I could not find where to buy "real" diffusion on-line. So, I went to a local hardware store and bought a 9x24ft roll of plastic sheeting (basically, a white translucent dropcloth). This I cut into smaller squares and use about 4 layers per light. Drape this stuff over something (the mircophone stand arm) and clamp it in place using C-47s (wooden clothespins). You may want to purchase some simple leather work/garden gloves ($5 a pair) to use when handling the hot lights.