Just to give you an idea, a very besic setup for a leo in a ten gallon would require...

Sand: Fine grain is better, and some people prefer to use astro turf or cloth turf, and those are fine as well. I just think sand is easier to clean up.

A water dish: something large and shallow enough for him or her to easily climb in and out of.

A heat pad for beneath the tank: As far over to one side as possible. There should be a "Warm side" and a "cool side" of the tank so he or she can go back and forth as needed to keep comfy.

A cave at either end: I like to use flowerpots cut in half or the little half-logs you get at pet stores.

Optional but VERY nice to have is a moisture chamber. To make one, take one of those disposable ziploc tupperwares, or something similar, and cut a "door" in one side. Stuff it with moss, and keep the moss damp at all times.

One important reason for this is that leopard geckos tend to get skin stuck to their toes when they shed. The moisture chamber will help them get it off so that the shed skin doesn't restrict blood flow to the toes.

Personally, I would recommend a nice fat adult male. Hatchlings aren't really fragile, but they are a little more delicate, and on occasion females can have problems with egg-binding, so when I worked at a pet store I always recommended boys for beginners. It's a little more costly to invest in an adult, but in my opinion it is worth it.

Here is a link to Kingsnake.com's classified page just for leopard geckos. Don't get turned off by some of the prices there: a lot of the people on this website breed super high-colored morphs, and some of the geckos listed will be very expensive! I just thought you might find it interesting to look and see what's out there.