its hard to list off stuff until you notice you need it and dont have it lol
In fact somehow I've managed to obtain all sorts of useful parts and devices, none of which I can use on the project I'm working on at any given time. I always seem to need what I don't already have. :-?
Start off with some stuff from Radio Shack, or whatever:
Proto board (or order a proto-shield from sparkfun.com)
Spools of solid 22ga jumper wire (WAY cheaper than buying pre-made jumpers)
One of those big bags of resistors
One or two packs of the LED assortments
A pack of assorted transistors.
A pack of voltage regulators (7812 and 7805 especially)
A 12V DC wall wart (try to find a regulated one if possible)
A couple motors
A pack of rectifier diodes
A pack of electrolytic capacitors
With that list, you can learn how to control and dim many LEDs and manage higher loads using transistors and motors, which will apply when dealing with large numbers of LEDs.