I don't do mashes, so I just buy the extract kit. The specialty grains come in the kit, in the grain bag all set to steep. The yeast is not included, though- you have to purchase that.
it's not a 'true' mash, per-se. just more grains that you steep for 45 mins as opposed to 15 minutes, and have actual grains that convert. you won't get very high efficiency, but it adds to the complexity of the flavors.