There's three main components - the wheel, the pedals, and whatever you want to use to mount it to. Even before you start looking at equipment you should still decide in general what you're looking for. Do you want a shifter, or maybe shifter paddles on your wheel? Do you want a simple stand to attach to and use your computer chair, or do you want a dedicated seat in a GT or Formula style stance? What kind of wheel shape do you want? It's mostly up to personal preference, but if you know what kind of car you want to drive you can look for things that more closely match the real car for added immersion and fun.

As for what to buy, /r/simracing has a well researched buying guide that I'd recommend.  They've got great recommendations for each price point.  Only thing to watch out for is compatibility - for peace of mind, it would be best to stick with the same brand for your wheel and pedals.