there is a thread about this somewhere... according to Ed Rosenthal - MH is a waste of money and recommends using an HPS. The ballast supplies the energy to power the light. Think of it as an oversized (and extremely hot and heavy) power brick (those extra big plugs or boxes you use to connect electronic equipment).
So you need a ballast (the power), the sockets (something to screw the bulb into), the bulbs, a reflector/hood, and all the wiring. Unless you are an electrician, buy a complete unit - have a look at the digital and switchable ballasts in case you decide to use MH and HPS bulbs.
Also - HID lighting is very hot so you should also consider air or water cooled reflectors. Lighting is most likely to be the most expensive item in your grow room.