Here's what I have, and the reasoning behind it:
Swiftech Apogee: Great performance, and the mounting hardware fits many different types of processors. I don't like clear tops because I've heard that they can split from tightening of the barbs or crack, developing leaks. Also think about where the CPU is usually located, above the video card. If water drips, it'll drip right onto you nice expensive video card.
MCP655 Pump: Same as the D5. Great pump.
T-line: Cheap, efficient, easy to fill, easy to bleed, compact. Regular reservoirs add weight to the system, which is bad for LAN parties and carrying your computer. They can also potentially crack or leak, and since they hold more water than a t-line, that means more water is available to leak into your computer or on your floor. When they do leak, they'll probably leak into your optical drives or hard drives if it's a bay res.
Chavelle Heatercore: Cheap, got it at Autozone for $25, holds dual 120mm fans, good cooling performance. The downsides are that it doesn't really look all that hot and it requires a fan shroud. And it's big.
Masterkleer or Vinyl: Tygon is too expensive and overkill. Masterkleer is cheap and just as good for watercooling purposes. However, Masterkleer and Tygon both have pretty thick walls, and don't bend well. When they do bend, they bend wide, take up space, and they can put uneven pressure on your barbs and waterblocks, which in turn puts uneven pressure on system components. Vinyl is dirt cheap, and bents better than Masterkleer or Tygon. Just make sure it doesn't bend so much that it restricts flow. In addition, vinyl tubing over plastic barbs creates a VERY watertight seal.
Antifreeze: Cheap. I just use standard antifreeze in my water for antibacterial usage and to make the water flow and adhere to the insides of the waterblocks better (decreases surface tension).
Clamps: If you're getting metal screw-on clamps, try try try to get ones where the screws are Phillips Crosshead and not Flat Head. Trying to screw a flathead when it's wet and slippery with antifreeze and when you're trying to control a leak is NOT fun. Alternatively, you can go with plastic finger clamps:
http://www.cooltechnica.com/Merchant2/merchant.mvc?Screen=PROD&Product_Code=APHC
Another alternative are zip ties, but those are hard to get off because you have to destroy them.
Teflon Tape: Definitely use teflon tape if you plan on installing your own barbs.
Rubber Stoppers: Available for cheap at hardware stores, get about 6 that fit your tubing. When your system is filled with water, and you have to take out a component, instead of bleeding the whole system to safely take out the component, you can disconnect the component and then immediately plug up the open tubing. This avoids possible messes, splashes, and makes it easier to switch out components or rearrange your setup. In addition, when you start the pump back up again, there's going to be water still in the system, making it easier to fill up.