1 Arduino (Uno, Mega, Duemillanove, Due (I'm so jealous of you), whatever you have. Even an ATmega or ATtiny because it can save your house.)
1 wall-brick for around 9V DC and a corresponding jack to connect it to a breadboard.
1 3.3V voltage regulator (Alternative below)
Battery holders for 6-20V. I used 4 AA. 9V works well, too.
1 speaker or buzzer
1 capacitor—pretty big capacitance, preferably. I had a 22µF and it was okay. More on this later.
If you don't have a 3.3V regulator, you can make a voltage divider with 2 resistors. Easy math and everyone has resistors, right? http://en.wikipedia.org/wiki/Voltage_divider