A lot of people here like the interchangeable points sets. I've just bought a lot of plain old circular needles. I started with Addi Turbos (available worldwide, I'm pretty sure) and have added different lengths (36" for afghans, 16" for hats) and some metal and some bamboo. Some yarns are slipperier than others and the bamboo works great for the most "slippy" ones.
DPNs: if you want to do socks/with sock yarn look for dpns around 2mm (go up a few sizes, too). You can also do socks with DK weight or worsted weight yarn, and you'll want larger sizes for those (US sizes 4 or so for DK, and 7 or so for worsted).
Straight needles - you can do straight knitting on circulars, but there are times when I prefer straight needles. I can knit faster with straights, actually, so I often use them when I'm not knitting in the round. It's all a matter of personal preference. I do suggest, though, that if you're buying US 15s or 17s, to keep in mind that the long ones do end up feeling like you're knitting with trees. For the large sizes circulars might actually be better (though I'm not getting rid of my straights).
You can use a dpn for a cable needle, if you want. I like to have a cable needle, though, particularly since they're pretty cheap.
A stitch holder looks like a giant safety pin. Get a few of these in various sizes. Some sweater patterns use up to 3 of them. These are a definite for your shopping list. (I see my advice is opposite to annomalley's. I much prefer having stitch holders to not having them.)