Does it need to have anything special or any food-grade bucket would do?
As an extract brewer planning to start going all-grain sometime soon, I can't answer from experience. But my plan is to start by buying a cooler to use as a mash tun. You can use a bucket, but without any insulation you'll have a hard time maintaining the 150-158F required for a good mash. I plan to build mine from one of those big job site drink coolers - they're made from food grade plastic and can help to maintain the temperature for an hour.