Arduino & xbee - what is needed?
You need a shield (for the XBEE modem) that plugs into the arduino:
https://www.google.ca/search?q=xbee+shield+arduino

Then you need the X-CTU program from Digi, version 5.2.7.5 or newer to configure the XBEE modems. Make sure you download the manual as well. 
Sparkfun seems to have links to the program.

The "As an aside" question... Decide what you want to do/experiment with and you can answer your own question. But what I have found helpful is to buy a set of resistors of many values. They are cheap and cheaper in bulk. Capacitors as well, and if you plan to drive higher loads than the output of the arduino can handle, buy a few MOSFETs to use as drivers.