To start with, not a lot. A pair of trainers and some loose trousers or track suit bottoms (Jeans offer good protection but tend to cut into the leg in some of the movements in fencing, like lunges). Clubs can usually supply the rest of what you need to start. Bear in mind that your kit will get poked, so don't come in designer gear.

Which is the best weapon?

Asking this at a club is a good way to start a minor riot. Each weapon has its own advocates and detractors. The answer is "it depends", but to start with most coaches agree that it's best to start with the foil. Even if you intend moving quickly to another weapon, practically everything you learn will still be of good use to you. Once you've mastered the basics you can try out the other weapons and see which one suits you best.

Does it hurt?

On a good day, and with a following wind, not at all. Done properly, the force of hits are absorbed by the flexibility of the blade, and the protective clothing - particularly the jacket - is thick. However, fencing is a martial art and sooner or later you'll pick up the odd bruise or graze. Some fencers are naturally aggressive and/or heavy handed, and a blow from them will hurt a bit (especially if it lands on a bony bit), but there is rarely any damage done. (In competitions, landing a hit with "unnecessary brutality" is a disqualifiable offence.)