I'm really anal when it comes to building things and I like to have all the equipment/materials that i need ahead of time.
If you're thinking of NOT having to run to the hobby shop right in the middle of your project....think again!
That said, $ircra$halot, rajul and TerrellFlyer have covered just about all the essentials as far as equipment. Just don't go out and buy a bunch of cheap tools to fill up your bench, they will be serving you long after any planes you have made with them have returned to dust. Spend your money on the best tools you can find and you will not be disappointed, and your planes will go together easier and look better for it. Forget the fancy stuff, a straight building surface and sharp blades are half the battle.
Oh, and lay in a supply of sheet and stick balsa to make new parts for those that get damaged or don't look too good out of the box.
What are you thinking of for your first building project?