I started as simple as a pan on the stove and a spoon. It's better if you can do it outside or somewhere well ventilated, burning chaff isn't the most pleasant smell.
If you can make friends with a local small batch roaster you can pick up a lot of info quickly. The ones I've met love to talk shop about roasting. And they can sell you some of their stock directly, so you can try more things without waiting for it to get shipped to you.
To each his own. I did it, because I like to experiment with food preparation methods.
It tasted great, but was too time consuming. I got the equivalent experience by going to my local Dunn Brothers and buying whatever looked good that was roasted that day.