Skydiving is one of the ultimate adventure sports. There is little that compares to going up in a plane, walking up to an open hatch, and jumping out. This sport is not for the faint of heart.
Most skydiving companies will supply everything you need, but these trips can be quite costly. Your first trip up will probably be a tandem dive, in which you are strapped to a more experienced diver who can operate the equipment safely. This allows you to get the thrilling adrenaline rush of a full skydive without the inherent risk of been a complete amateur in a dangerous sport.
Many locations will be happy to teach you more about the ins and outs of skydiving. The most important lesson is how to operate the parachute and when the cord should be pulled. There is also some nuance to directing your parachute as you come down so as to avoid hazards such as trees and touch down safely. These skydiving companies will still usually provide the equipment, but will allow you greater freedom as you learn the techniques necessary to successfully enjoy this sport.
If you do wish to purchase your own equipment, you will need a good quality parachute, both main and reserve, a jumpsuit, a harness and containing system, a helmet, and goggles. You may also want to invest in an altimeter in order to accurately judge your height, although this can sometime be done by estimation.
US Navy parachuters
Skydiving is an intense, adrenaline fueled sport that can be very dangerous. Always go with a company you trust and ask questions if there is anything you are unsure of. If you can bring yourself to make that first step out of the plane, you will have an incredible ride and might very well get hooked for life.