I can heartily recommend a starter kit like the ones that oomlout sell - http://www.oomlout.co.uk/arduino-experimentation-kit-ardx-p-... for example. I bought one in summer 2010. They come with a good selection of examples that you can assemble with the various parts that it comes with, so takes a lot of the uncertainty out of what you need if, like me, you're more of a software than a hardware guy and not sure what resistors should be paired with which LEDs etc.