Warning: WOT (wall of text)...
I can (and frequently do) recommend Roger Musson's book
http://www.wheelpro.co.uk/wheelbuilding/book.php
(only as pdf, free updates when available)
Also check out:
http://www.sapim.be/index.php?st=checklist&taal=uk
Spokes: DT double butted (for everything except tandems, haven't built for those yet though). Aero spokes are nice to control spoke torsion and look fast. Used plain gauge for a snowflake last year (cheaper option and not built for durability, more for show and to have done that, but still round and true and rideable). Any other big brand (as Sapim or Wheelsmith) should be good.
Hubs: Depends. Mid-range Shimano stuff is inexpensive and sturdy and runs good enough if greased and set up properly.
Rims: Again it depends on use and money. Need to build a more aerodynamic wheelset for the new season, though some shops offer great deals (cost of parts for me about same as new set from them). Stay away from really cheap rims though, the joint is usually not well done and impossible to get in line (though sanding might help a bit).
Check out the tools section for a home built trueing stand! I myself don't need the dial indicator (are they called that?) but simply use a feeler that almost touches the rim and look at the variation of the gap. My trueing stand is a Minoura, cheap... but ok. The self made one in the forum is much better and less expensive. If you have the time: Build one! (my bought one can be folded and stored really easily, that is a plus for me, not much space here).
More on tools: Never used a tensiometer they are simply too expensive. I built a dishing gauge from scrap wood, works good enough. Get a good spoke wrench (Spokey shaped, doesn't have to be the pro version), they grab all four sides of the nipple. Also get the screwdrivery thing with the tip on the blade: it provides a well defined starting point when lacing the wheel. Get thick garden gloves for the stress-relieving of the spokes (squeezing), mine are for pruning roses = sturdy.