Here's your list of "parts":
1. An FM transmitter (I went with BELKIN because it got really good reviews)
An FM transmitter is a little device which(simply) let's you listen to your audio source(Personal CD player, MP3 player, etc.) Over a stereo. These are low powered and don't have the greatest range. I would suggest the Belkin Tunecast II FM Transmitter Mod
to boost your output power.
2. a personal FM receiver(With headphones!)
Basically, a small FM radio with a headphone jack people used to use before CDs and iPods were invented.
This doesn't need to be brand new. Just functional, and have a headphone output.
(TIP: If you want to seem really cool and professional; get a rectangle one that you can put in your back pocket. This way people won't know you don't have a professional IEM system!)
3. Headphones, 1/8 to 1/4 adapter(optional, depends on conditions)