When I started implementing the GTD methods I used:

In-baskets on my home and office desks.

Brother PT-65 labeler

File cabinet

Sharp Zaurus

The only things I bought specifically for GTD were the labeler and a bigger In-basket for home.

Later I added a tickler file, a notepad wallet and other capture tools, some portable files, and a bunch of new habits.

Today, these are the tools I use:

Capture tools:
Note pad wallet ALWAYS with me.
Voice recorder on cell phone.
Index cards and scrap paper at my desks.
Log notebook for work/meeting notes.

Collection tools:
Wire mesh basket at my home base office.
Plastic IN-tray at my on-site client office.
Red plastic IN folder in my satchel.
Work Email
Home Email
Voicemail

Reference files:
Manila folders, labeled with a PT-65. One file box at on-site office, three file drawers at home base.

Tickler File:
The basic setup described in the GTD book. 43 labeled manila folders - 12 months, 31 days.

Other files:
Project support: Simple manila or expandable files depending on size needed.

Blue plastic "Actions" folder for portable action support materials not tied to specific projects.

Colored plastic "File At Work" and "File At Home" folders in my satchel.

Calendar:
Electronic calendar on Sharp Zaurus SL-5500, synced to Outlook calendar on laptop.

List keeping:
To Do application on Zaurus, synced to Outlook Tasks.
@Actions folder in Outlook email (because online with email available is its own context for my purposes).

In the Zaurus To-Do app and Outlook Tasks I use the Category field to identify context. That way I can choose to display all Next Actions, or only @Phone, @Errands, etc. I use "@" to designate Action list categories, and "+" to designate other types of lists. Some of my current categories:

@Anywhere
@Computer
@Home Base
@Errands
@Internet
@House
@Phone
@Client
@TV Time
@Waiting For

+PROJECTS
+Agendas
+Checklists
+Gift Ideas
+Reference
+SD/MB
+Travel

Apart from tools, and the habits to go with them, the best advice I can offer is: Don't feel like you have to implement everything all at once. I sure didn't. I started with a labeler, some files, a basket, and a basic list managing tool. The portable files, the tickler file, notepad wallet, and so on were added only when I felt a NEED for them. One benefit of this was that I didn't have to build a whole lot of new habits all at once. By the time I added the tickler file, for example, the in-basket, the context lists and the general reference files were all second nature.

Good luck,

-T.