Welcome to the board. You've bit off a big chunch of information. I'm just getting into haying myself. Here's my 2 cents worth. Read, Read, READ

I'd suggest that you sit down and start with a piece of blank paper and ask yourself some very important questions. Why do I want to make hay? What am I going to feed this hay to or am I going to just sell it? What is the market around me like? Do I want to make a profit if selling? What time frame am I looking at? What external resources do I have?
These are some tough questions to answer but it will help "you" decide what machinery you'll need. You can get by like bensfarmingchannel is doing and you can be successful or if your pockets are deep then you can go all out and spend $100+ grand on new equipment etc.
Now for some basic recommendations based on what I'm learning. Tractor weight is your friend. A good solid heavy tractor (within reason). As you are new and I don't know your mechanical ablity a good field ready baler (square or round). New balers are $$$. You'll need a cutter (disc, drum, sickle). A rake/tedder. A method to remove the baled hay out of the field. Rounds are easier to move. If doing square you'll need to store in a properly covered ventilated area. A good sprayer for herbicide/insecticide etc. A method to seed grass.
This is not to scare you off but there is a lot to consider.
Now for some numbers based on what I'm doing
Tractor 50+ HP 2wd/4wd depending on terrain. If I had it to do over I'd have gone with a 70+HP tractor.
Round baler. 5x5 bales can be done with a 50HP but more is better.
Side bar rake (I just prefer them).
Mower, sickle requires the least HP, disc the most.
Sprayer, probably around 100gal.
Disc, the larger the better and heavier.
Other attachments as necessary.
And lastly TIME and PATIENCE as you're working with the weather etc. And don't expect to do this in one year. Figure at about 3 to 5 years before you really see your results.
Good luck.