I have made 7 or 8 extract brews over the past year and am interested in moving up to all-grain. What equipment is needed, and what steps are added to the process.
First, time and patience.
Moving to all-grain is a big step, but definitely an awesome one. Including cleanup, your brew day will extend to many hours. Probably close to 9-10 hours when you first start, though it will become faster as you learn your system.
Equipment wise, I'm not sure what you have, so I'll just go through it all.
Propane burner. It's not required, but it's WAY more better than an electric stove.
Mash tun. This is where you mash the grains, sparge, etc. I built one for super cheap. It's a big chest cooler, a spigot, and a braider washer hose. My blog has pictures of all this stuff.
Big kettle. With extract, if you're used to adding water after the boil, you'll almost definitely need a bigger kettle. I'd suggest something at the 8 gallon or bigger level.
A wort chiller is pretty essential at this stage. Getting 5 gallons of hot wort down to 70˚ is hard without one. There are a few different kinds. I have an immersion chiller, which is pretty much just coiled copper. There are also plate / counterflow chillers, which are fricken badass. Depends what your budget is.
Carboy. same as with extract.
Other useful tools are great, or even essential, too like a mash paddle (big slotted spoon), testing equipment (thermometer, hydrometer, cylindrical tube for testing), etc.
That's the basics. Go to your local homebrew shop and peruse. They'll have tons of gadgets that make the whole thing more fun too.
I suggest buying the DVD from Basic Brewing Radio.
Just remember as with everything in brewing, it can be as easy or as complicated as you want it to be. You can put together 100 bucks in equipment or 10000.
Personally I'd recommend checking out your local homebrew club, and watching someone run through an all-grain batch. I taught myself from books because at the time I didn't know that such clubs existed, but it makes it so much easier to do once you've seen the process. It seems fairly confusing to read descriptions of it, but watching it you will realize it's really not that difficult... time-consuming, in that there's a lot of waiting around, drinking beer, yes, but difficult no.
I am also going through the process of switching from extract to all-grain.
As a general overview of the process, I found A "Cooler" Way to Ease into All-Grain Brewing really helpful.
And as far as building your own mash tun, the video "How to make a Mash Tun from a cooler" has great step by step instructions. I am typically a visual learner when it comes to brewing, so I find youtube videos help the best.
Edit: By the way, I used the video "How to make a Mash Tun from a cooler" and it went great! It took me a few times of running back and forth from home depot, but I got it built. You may have a few minor issues depending on the type of cooler you buy (the only real problem I ran into).
I have 2 of these: http://www.williamsbrewing.com/60_QUART_BREW_POT_WITH_1_2_V_P1905C50.cfm both with false bottoms in them. Actually, mine are polarware, but the design is the same. One I use as a mash tun and the other is my boiling pot. I have a 6' tall rack next to my cookstove (just a freestanding propane campstove-- one of those big 2 burner jobs with legs) where I keep my hot water tank (which is an old plastic bottling bucket). I don't have a sparge arm, though they help. I just hang out during the sparge and spread the sparge water around by hand, using my bottling tubing as a hose.
Basically, I've got a poorboy setup that simulates the Tiptier Modular Brewing Stand here: http://www.williamsbrewing.com/WORT_MAKING_EQUIPMENT_BEER__C13.cfm
So the hot water tank's at the top, the mash tun's in the middle and the cookpot's down below. If you get a rack and burners like the one in the photo linked above, then you don't have to lift the damn brew pot off the floor onto the burner like I have to.
Crap, the links above may not work here-- looks like the wiki is stripping out underscores. So you'll need to go to the site above and search "R12" for the cookpot/mash tun and click on "WORT MAKING EQUIPMENT (BEER)" under the homebrew category for the stand.
Oh yeah, getting the thermometer accessory for both the mash tun and the cookpot is helpful too. That way you don't have to float one in there. I also have another 7 gal stainless pot that I use to heat my sparge water in while I'm heating my mash water.
Things you need:
Hope that helps.
If you want to test the all grain waters without investing a lot of cash, check out the 'Brew In A Bag' technique.
You basically steep(mash) a giant bag of grain in all of the water* your brew requires in the same kettle you boil the wort in.
I use a converted cooler for my mash tun and a Masterbuilt indoor 28qt countertop electric turkey fryer for my boil kettle.
*total vol = grain absorption + evaporation + final volume
How to calculate total volume (adjust to your setup as necessary):