Oh yes, you DO need an Arduino processor, which can cost from $30 to $50. Look up http://arduino.cc
, BoArduino and Freeduino and pick the one that appeals to you. Software-wise, they are all compatible and virtually interchangeable.
One major consideration is the 'input interface': the means to feed programming and data to your micro. If you are just starting out, I strongly suggest one that uses the USB. With it, not only can you talk to your Micro with your regular computer (WIndows, Mac or Linux), it can, within limits, power the micro as well.
One of the newest member of the Arduino family is the 'Nano', shown here trying to say "HELLO" on the LED panel. It's got everything on a 2" x 1" (5 x 3 cm) package, and has its own USB connection.
The Arduino is an entire developmental system that can interface to the real world: lights, sound, motion and can be connected to sensors that can 'feel' them.
Best of all, the Arduino Foundation is 'open' - all its software is free, and you are encouraged to share and develop your own.