Well, it turns out we don't need them. We do need a couple of things though first:
1. A 5V power supply with a micro USB cable and supplying >700mA. £15 at Maplins - a bit overpriced. You'll probably do better on Amazon, or recycling a phone or Kindle charger.
2. An SDHC card. I bought a 32GB one at ASDA for £15, but you can get by with a 4GB one. Apparently they come in different speeds - I didn't realise this, but your Raspberry Pi might be faster if you get a class 10 SDHC (see list of compatible cards).
Getting the Linux distro image ("Raspbian" - a customised Debian) onto the SD card is the hardest part, at least from Windows, as the recommended method is using Win32DiskImager which (as of version 0.6) has a critical bug that might bork your hard-drive (YMMV). I created a Knoppix Live CD, booted off that, and used
ddto copy the image to the SD card*. If you don't know what you're doing you might be better off buying an SD card with Raspbian pre-installed.
Your RPi is now good to go. Stick the SD card into the appropriate place, plug in the micro USB, and turn on the power. Eh walla!
Well, actually, the only thing you'll see are lights blinking on the RPi. But Part II will continue this epic narrative...
(* I used gparted to figure out which device was which.)