Mr. Tex, there are plenty of threads about he PID builds in the stickies. Check the sub-sticky that has PID listed in the title. I'd research a bit more and start the build, then ask specific questions when you run into a wall along the way. I think right now your question is a bit general.
I'd say this: if you don't need Ramping or soaking capabilities I recommend the syl-2352 from auberins.
http://www.auberins.com/index.php?main_page=product_info&cPath=1&products_id=3
Make sure to choose the SSR control option. This PID is fine for both 110 and 220. You'll then need (well, want at least) TWO SSR's if doing a high temp oven. Get the 40 watt ones, and two heat sinks. Then you need a thermocouple capable of your desired max temp, some thermocouple lead wire, and then some basic electronics gear (wires, switch, plugs) that you can get from RadioShack, and you then at least have the CONTROLLER part of the heat treat oven built. Then, you can tackle the oven itself as a secondary project.
Think of the controller like this: it is the brain that operates an on/off device based on an input. In this case, the on/off device is a heater (coils) and the input is temperature (thermocouple). When you think of it like this, it's more simple to understand.
As far as extra wires go, get heavy duty wires like 10 or 12gauge for the main power that is switched to the coils, and for the wiring to the PID (and PID to SSR) use small like 18-24 gauge.
Then get a couple switches, a couple fuse holders, some heavier cable for a plug between oven-controller and controller-wall, and some kind of project box and you're all set.
Hope that helps

read the stickies also you should be well on your way!