If you have been extract brewing for a while and are interested in learning how to brew all grain, one of the easiest methods to try first is to batch sparge. In addition to the typical extract brewing equipment you are going to need a mash tun. This guy uses a cooler as his mash tun, but I have used 5 gallon buckets with blankets wrapped around it to keep it warm. One of the benefits of learning to brew from all grain is that you can have a higher degree of control over how your beer turns out, and it makes cheap beer even cheaper. The money that you spend on the equipment can be recouped in under 10 batches of beer probably.
Brewing All Grain