You need to figure out the type of clay you like first, then the brand. Personally I like Fimo Soft, you bake it in oven. It's durable, and not too hard.
I actually have a post on my blog explaining different types and brands with links to someone who did extensive testing here:
http://cbspolyworks.blogspot.com/2008/11/btb-which-polymer-clay-type-is-better.html
As far as what you need, you can start off with just trying different clays. Tools are pretty inexpensive, you can use anything around the house for textures, and sculpting. Just don't use it with food afterward. You use an oven to bake or it air drys. I really love my manual pasta machine, I use it to flatten clay into different thicknesses. You can also use a roller as an alternative.