Hockey is a fun, but very physical sport and requires a lot of safety equipment. As a result of all the required gear, hockey is an expensive sport to get started in. It is easy to spend $1,000 getting all the basic hockey gear, but with some bargain hunting you probably get outfitted for around half that.
The foundation of your gear starts with skates. It may sound obvious, but the first and foremost factor when selecting a pair of skates is fit and comfort. Keep in mind that skates tend to run a half to a full size small. The skates should be snug (if you don't plan on wearing socks, don't wear them when you try the skate on) but not uncomfortable. Various brands have stiffer ankles, others are lighter, and some have more padding, so it is best to try on several pair and choose the pair that has the best feel.
Shin pads are important to be comfortable and provide total coverage of the front and side of your shins from your ankles all the way to the knee. They should be capped with hard plastic and be light and not impede movement.
Hockey pants should provide good thigh, hip and tailbone protection and as with all your equipment, while fitting snug still provide free easy movement. The fit should start at the top of the shin guards and go to the waist.
Shoulder pads should also have hard plastic caps. They should provide coverage of the upper upper chest and back with softer more flexible padding and he hard capped on the shoulders and upper arm. Elbow pads protect the elbows and stay in place.
Gloves need to be firm with a hard back padding that extends up past the wrist. The fingers need to be flexible enough to comfortably grip your stick. Remember that with wear, the gloves will continue to break in and become more flexible over time.
Lastly you need a helmet. As you have probably figured out now, as with the rest of your hockey gear, find one that is comfortable. This is a critical safety component and is not a place to try and save money. It must be an approved helmet and come with either a clear or wire face mask.
While not a cheap sport to initially purchase all the necessary gear, the advantage is that with proper maintenance, your equipment should last a very long time.