Check this thread too...
http://www.penturners.org/forum/topic.asp?ARCHIVE=true&TOPIC_ID=11859
From it...
Things you may need (or just plain nice to have **) :
bandsaw**
drill press
vise
drill bits
pen kits
glue (CA, epoxy, gorilla glue)
barrel trimmer
lathe
mandrel
bushings
skew, roughing gouge, parting tool
face shield
dust mask
dust collector**
sandpaper (various grits + MicroMesh)
sanding sealer
finish (your choice: CA, FP, Enduro, Lacquer, etc)
pen press
grinder & jigs**
A lot of these you can live without (**).
Handtools: You can get a set or just buy each piece. I only use skew, roughing gouge and parting tool in pen turning. I am still using the cheap HarborFreight 8 pc HSS set (bought for $25.00 2 years ago). Benjamin's Best seems to have good reviews and are priced reasonably.
On Drill bits...take it from me...buy the set that AS or CSUSA sells and save yourself a ton of money in the long run.
EDIT in: A cheaper option is the 135 piece HSS drill bit set from HarborFreight
135 pc HF Drill Bits set
Check Berea...I like a lot of their kits. You will be better off buying the accessories direct from them...but for kits you might get better deal from Bill Baumbeck at Arizona Silhouette. I think BB charges more for the bushings, mandrels, drill bits, etc.
CSUSA also have nice kits (my favorites)...especially their high end ones.
Other suppliers worth cheking are Beartoothwoods and Woodturningz
Klingspor stearate sandpaper is my favorite.
Klingspor
Micromesh is cheapest at
WoodChips
Good luck and welcome to the madness [}
]