That is rather vague...
Illuminare and Powered Play are the only two pre-wired, solder-free kits marketed at the 28mm crowd, at least that I'm aware of. Most folks just figure it out themselves or, perhaps even more frequently, copy what they've seen others do online. Electricity is a tricky thing for most people to wrap their heads around (I wish it weren't so, but I'm no better), so it helps to be able to simply match LEDs, power source, and resistors to a project you've already seen completed successfully. Search for one of the dozens of build logs already on the site, tutorial videos on Youtube, or narrow your question down to the point that you can get specific advice from those in the know.
As for the necessary parts, LEDs, battery holders, etc. are all pretty cheap to order online. You won't likely need anything you can't pick up at Radioshack, but immediacy is their only real draw - you'll pay a mere fraction of the cost when ordering the same parts from an online distributor/Ebay seller.
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