All i have so far is a PLP520-B1 5.6mm 120mW 520nm from DTR's site.
You will need:
A host: this is what the laser diode goes into. Can be a modded flashlight, can be a project box, can be a fully custom host.
A driver: Unless you bought the driver option from DTR you will need a current limiting driver which adheres to the general understood limits of that diode. Without this your diode will die. Can be home cooked or bought online but it is a must.
Batteries: If a flashlight mod or a custom host is used, batteries specific to the dimensions of the host must be used. If a project box, use your imagination. Make sure that the voltage being applied is appropriate. Aka - using two lithium Ions for a boost driver is bad mmmkay?!.
Lens and Module: Probably came with diode. If you ordered just a bare diode though you will need to correct that and order a module and lens from DTR.
Patience: Rome was not built in a day and while it is irrelevant there are times when you will want to throw the project across the room. This is also bad. Don't do this.
Soldering Skills: It is difficult to do a project like this with no history involving soldering irons. Also, make sure your soldering iron is the right type for this job. Nothing huge, this needs to be small and precise.
Wire: Hit up flaminpyro or your miscellanious electronics sitting around. You will need wire unless your diode came with enough for your build.
Heatshrink: shorts are bad for Presbyterians and Lasers alike. Instead of shopping the ol' JC Penny for some pants or a nice skirt though, just wrap some heatshrink around your connections and shrink the tubing using your soldering iron, a lighter, or a hot air gun. This will keep your hey day from turning into a mayday.
Now....you have been spoonfed.