I have been "rolling" my own cigarettes for a few months now, and I love it. I save a TON of money, and the cigs actually taste better than the crap I used to smoke.
I buy pre-made tubes with the filters attached. There are dozens of different brands and flavors in each brand. I personally use Beretta full flavor tubes. I bought them the first time because the filter's are black and I thought they looked cool. Turns out they taste good too.
As far as tobacco goes, I buy 15 or 16 oz. packages of pipe tobacco. If you're going to buy them in a store and purchase tobacco cut for cigarettes, you will pay the same tobacco tax that they put on manufactured cigarettes. I also buy my tobacco online from a store in Pennsylvania as they mainly sell cigars and have great prices on tobacco as well.
You're going to want to try a few different tobaccos to find one that suits your needs. I buy two different kinds, and when I'm done with one bag I switch to the other brand to get a little variety in my smokes. The two brands are OHM and Southern Steel. The OHM blend is called Turkish Yellow, and with the Southern Steel I smoke the mellow flavor.
Lastly, you're going to want a machine to make your cigs. I started with a little plastic slide machine. You stuff the tobacco into the machine, fit the tube on the end, and slide the machine which stuff the tube with tobacco. While this works just fine, if you're doing a bunch of cigs at once, you're going to find it's annoying. Now I use a machine called a Powermatic I. It's a manual machine. You stuff the tobacco into the chamber, then there's a slot machine like handle you pull towards you and down, and it packs then stuff the tube with the tobacco. This is much quicker and easier on your arms. My girlfriend actually just started rolling her own as well, and she uses a Powermatic II machine. This one looks the same as the I, but it's electric. The motion of the arm is much smoother, and will save you some effort.
That's about all I can think of, but if you have any other questions, just hit me up and I'll impart some more wisdom on your bum.