I feel like your question really deserves its own thread.
But anyway, there is a good basic equipment list on this site, as well as a good general description of the process:
http://biology.clc.uc.edu/Fankhauser/Cheese/Cheese_course/Cheese_course.htm
There are specific instructions for several types of cheeses, and some of these may list additional equipment or chemicals.
Most equipment is common stuff you probably already have. Pots, strainers, collanders, thermometers, long-handled spoons, cheesecloth. A cheese press would be a specialized piece of equipment that you might want to consider. Butter muslin or a very fine weave cheesecloth is better than the loose weave stuff you can get at the grocery store, so that might be considered another specialty supply item.
Kits and individual supplies are generally available from beer and wine and/or cheesemaking supply stores and vendors. Kits should come with good instructions and all the basic equipment and consumables you need for several batches.
The most important specialized supplies are starter cultures, calcium chloride solution, maybe annatto if you want to color your cheese. You'll want to buy some cheese wax for aging unless you are only going to make fresh cheeses that are eaten without aging. You can buy starters in bulk or in convenient pre-measured packs. You'll need mesophilic starter for many common fresh and aged cheeses, or you can make your own from cultured buttermilk) for basic Farmer's Cheddar and similar cheeses. For certain hard cheeses like parmesan, you'll need themophilic starter culture. And of course, you'll need specialized bacteria for blue cheeses and for surface ripened cheeses. Rennet is essential for almost all cheeses. It can be obtained in tablet or liquid form. Often you can find rennet at your grocery store too.
Good milk is often the most difficult item to source. Ultra-pasteurized milk won't work. Regular, non-high heat pasteurized homogenized milk will work. My results with low-temperature pasteurized non-homogenized milk have been very encouraging so far, and such milk should be a good option if you can find it.
Raw milk availability varies from state to state. You'll have to check your state laws. In Texas, a dairy that is licensed by the state to sell raw milk can do so only directly from the farm. There are no other retail sources for it in Texas, and I suspect the same is true in most other states. Of course, if you are lucky enough to have a family cow or some milk goats, you're good to go.