I've been roasting for a number of years, here's the skinny:
Beans from Sweet Maria's (sweetmarias.com) or CCM (ccmcoffee.com). Look for something in the $3-$6/lb range.
Get a heat gun from you local Lowe's Depot, recommend the middle-of-the-road one. I've got the $50 version, but I roasted with a $15 heat gun for a long time with no real problems.
Stainless steel bowl is a good route; I've also known people to use ceramic. Either works fine, though the religious fanatics will make cases for one or the other, both with valid points.
LONG-handled wooden spoon is the traditional option. A metal spoon would also work, but it'll get hot, so be prepared.
Process:
Roast the beans for 10-15 minutes, should be able to get a half pound, giver or take, depending on your heat gun. Look at the tutorials on the above sites for guidance on what you're looking for, but basically, you're going until the beans crackle like popcorn and start looking like coffee beans instead of peanuts. Lay them out on a cookie tray for a couple of hours (until cool), then put them in airtight containers. 72 hours later (in my experience), the beans are best for espresso -- they're usable before that, but they'll be a bit flat.
Quality -- I've done taste tests for french press and espresso with my roasts against storebought (*$, Peets, et al), and honest-to-goodness fresh roast always wins. Really good roasts -- a good local roaster, or Cafe Intelligentsia or something -- will do better than I do, but they're a lot more pricey. It's harder to tell with french press (and almost impossible with drip), but it's really easy with espresso.
So for my investment of time (half an hour of roasting every other weekend) and money ($6-8/lb as compared to $15/lb for The Good Stuff), it's totally worth it.
The other thing is my roaster: I started with an actual roaster, a little counter-top thing that my room-mate bought for me for Christmas one year. Worthless. You could do about 4oz of beans consistently, so it took forever to get enough beans to be good. Then I did heat-gun-dog-bowl for a while, which got old because I had to sit and stir the beans. So I found an old Kitchen-Aid stand mixer, drilled and tapped some bolts into the head, and made a wire-mesh stir-stick. I run it at about the 4-5 speed, set my heat gun on wood blocks, and go make a cup of coffee. Then I set with my coffee and watch the beans roast.
Cheers, and enjoy the journey.
Dan