Arduino Mega 2560

Hey all yesterday i get my arduino FINALY!

I start to upload the AEROQUAD open source for quadcopter now i read i need shield for this but is possible to upload aeroquad code on arduino mega 2560 without aeroquad shield i will buy all addson like

GPS, Barometer, Magnetometer, Motors, ESC, rc transmitter.... ?

A "Shield" is just an easy way to connect devices to an Arduino. You can always duplicate the wiring of the shield and wire everything separately. I would recommend getting male header pins to plug into the Arduino sockets so you have something to solder to. The pins are usually sold in strips of 40 and can be broken apart to get any smaller size you need.