What do I need to connect a second monitor to my MacBook Pro?
Your MacBook Pro could have various display ports depending on its vintage:


Dual-Link DVI for the oldest models 
Mini DisplayPort on the 15" from late 2008, on the 17" since early 2009


Both can drive a monitor in analog mode (via a VGA port on your monitor) or in digital mode (via a DVI port). Most monitors, except really ancient ones, have both connectors. The quality of the image beeing better with a DVI connection I recommend you go this route.

All monitors are shipped with a DVI/DVI cable, if not go get one at your nearest cheap PC place. For old MacBook Pro that's all you need. For more recent models you need to add a adapter. Apple has one, but I don't like it: It's really short and put pressure on the port when the computer is used on a support. Not to mention ugly. I bought on ebay a 6 foot Mini DisplayPort/DVI cable for cheap, it's all digital so you don't need huge shielding and "super copper wire balanced to give you the best image". Around 10 quids.

Note: Smaller models like the MacBook and the Macbook Air came with different ports: A mini DVI or a micro DVI. For the people reading this with a non "pro" model, make sure you check for those as well...

PS: You can find pictures of the various ports by searching for their names on Wikipedia. I wanted to put the links directly, but apparently I do not have enough reputation to post more than one link:(