Most people use 5 gallon "corny" kegs. These are convenient since many brewers brew 5 gallon batches. You can also use standard sanke kegs with a conversion kit if you brew larger batches.
I actually just posted something about equipment and someone put me onto keg connection.com I went to there website and priced out a complete setup, ball lock corne keg, CO2 tank and hoses with connectors. The total was $175.
I got my original setup from kegconnection too. Had some customer service hiccups, but I was satisfied with the products. I got a 5lb tank, taprite dual output regulator, 2 cornies, stainless steel dual tap tower, perlick 525ss, and all the hoses from them. Everything comes pre-assembled, so it was cake installing it since I had no idea what I was doing when I first started kegging.