EMF Meter: (Electro-magnetic frequency meter) detects the presence of electro-magnetic readings which can be put off by anything electronic. I.E. wall sockets, light fixtures, blenders, televisions, etc. So if your in a room and get a reading see if you can locate its source. If you can't locate it immediately, snap a picture as something paranormal might be occuring.
Digital Audio Recorder: This is basically just a good old fashioned cassette recorder but digitized. Which means theres no tape. Make sure you get one that can record high quality sound (look for HQ on the packaging) and also one that can connect to a PC, and has a minimum of 8 hours recording time.
Cassette Recorder: It's always good to have a backup available if your expensive DAR breaks. This is just a good basic one I bought from Wal-Mart. Make sure to take some blank tapes and spare batteries along too.
Non-contact Infra-red Thermometer: This is good for detecting "cold spots" or fluctuations in a persons body temperature. Not a necessity for a hunt but definately helpful. If you detect a cold spot snap off a few pics.
Camcorder: This is good for a number of reasons. Make sure to get a Sony so that it has the NightShot option, as Sony is the only brand that includes that so far. Either carry it around with you or set it and leave it in a room with the highest reported amount of activity. Need I say more?
Motion Detector (IR mode): This is good because they emit a infra red beam that when broken sets off a chime alarm. Since ghosts reportedly exist in an infra red state then they can set it off. Put it strategically placed in a corner of a high activity room and wait for the chime to go off. Simple as that.
Digital Camera: You can also use film camera's. But I find the digital type to be much easier, cheaper, and effective to use. We use the Canon PowerShot A70 with 4 megapixels.
Other equipment to take along on a hunt: Spare batteries, tape (to mark off where something rests, to see if it moves while you are there), flashlights (preferably with a red lens, makes less interference in pictures), cell phone, notebook and pens, Holy Bible (if you are religious), spare cash (in case you have to go out and buy something), snacks and drinks, etc.