My opinion... A nice oval skew, and a dead center. If my 12 year old can learn like this, you can.
The dead center is used to turn "between centers" one blank half at a time. Do yourself a favor, and look into this method posted all over the site. May as well start off this way, it's cheaper than a mandrel and like many have supported, it's much more acurate.
Drill bits, but the large 115 piece set from Harbor Freight and while you are there, add in a set of Transfer Punches (to be used to take pens apart)
From your supplier, I would start with CSUSA where you can buy all these things. Buy some kits, I will go out on a limb and suggest the cigar pen to start off with. (Buy the bushings too) It's a much better kit and only a couple bucks. But plenty of spare brass tubes, practice on these spares until you have a nice pen blank.
While at CSUSA, you can buy a chisle, I would start with a 3/4 oval skew, but you can buy a gouge if you want to start that way.
You need a pen mill, I would suggest the $29.99 set which comes with a few pilot shafts (and the 10mm you need for the cigar kit)
You need something to drill your pens. This needs input for what you have for tools and if you have a lathe chuck.
I know EVERYONE starts with slimlines, but honestly the cigars are almose eaiser to make, in ways more forgiving and such a better kit for the couple bucks it's not even funny. In fact, I have some brand new spare bushings.. e-mail me and I will send the bushings to you.
All that said, the kits tend to be cheap junk and you will replace it all. Buy some good stuff and add on from there.
For a finish, just starting out, you might want to try Deft spray lacquer and work on the CA finishes once you have a few pens under your belt. You can buy a set of micro-mesh from CSUSA, cut it in 1" wide strips and it will last well over a year. I cut my own 1" strips for 150-220-320 from cheap sandpaper bought at Wal-Mart.