This is a C clamp, used to secure most types of stage lighting units to a length of pipe. The image will take you to Star Light and Magic. Go for the Heavy Duty clamp... in my experience the Light model doesn't allow a full range of movement for swivelling the lighting unit.
You'll also want to get some gels, which are colored plastic sheets you put in front of the lights to tint them.
The Set Shop has some nice packs available. I bought the Master Location pack, so I'll have pretty much every type of gel and diffusion I'll ever need. It also includes a piece of Blackwrap, which is an extra-thick aluminum foil that's flat, non-reflective black, and incredibly useful for blocking out unwanted spill light and shaping the beam. Use with some cloth tape (called Gaffer tape in "the biz") or clothespins. You can also tape or pin a gel sheet on a regular desk lamp or a halogen worklight like you get from the hardware store for $15.
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My lighting setup
Here's how I hang the lights in my studio.... 
These are called Par Cans.... they're the kind of lights used in night clubs. Inexpensive and quite powerful, and they have a gel holder so you can tint the beam. If you click on the picture at the left, you can see a selection of similar lights at The Musician's Friend, who has them at great prices. Choose the size you want depending on how powerful you need it to be. I'm using a pair of Par 46 lights with 250 watt lamps, which casts a good strong beam that will cover maybe half of my set area. The ones pictured are Par 20's, which are much smaller, and cast a smaller beam. If you buy a really small size like the Par 16 pinspot, you can get the effect of a spotlight for pinpointing a puppet or a part of the set. For holding up your lights, you can get light stands from one of the lighting stores I've already linked to, or buy a halogen work light that comes with a stand. You can get 250 watt or even 500 watt halogen lights from a hardware store pretty cheap, and they have standard hardware which allows them to accept the C-clamps. I have a pretty small space, and don't really have room for a bunch of stands that I need to worry about bumping into, so I opted for a different solution... 
The red thing in the foreground is one half of a pipe clamp set. You buy the clamp pieces and insert 3/4" plumbing pipe that you buy elsewhere, whatever length you desire. As these pictures to the right show, the basis of my rigging setup is a pair of these pipes running parallell, onto which I've secured shorter pieces of pipe to form a scaffold that offers many positioning choices. 
Here's a close up that more clearly shows the C-clamp securing one of my lights to the scaffold. It's important that the two screws are perpendicular to each other.... in the lightweight C clamp design, and many others I've seen, they're at a 45° angle, which puts the long screw right in your way for swiveling the lighting unit. Also, behind it, you can see how I put two hose clamps together to attach the extra pipes to the main support pipes. Ψ |