1. Cartridge Cases
Commonly called shells or casings, this is what holds your cartridge together. In most rifle and handgun ammo, it's usually made of brass. Using fired cases from factory ammo is probably the best and most common method of acquiring cases (hence the term " re loading"), though unprimed, unfired shells can be had for many of the more popular (and some obsolete) cartridges.

2. Bullets
These are the projectiles that your cartridge will fling down the barrel of your gun (so please don't refer to loaded cartridges as "bullets," it's incorrect and makes me crazy). A wide variety of bullets in many calibers is available to the reloader, both from ammunition manufacturers and companies that make only bullets.

3. Primers
These are the little jewels that provide ignition for the powder. For rifle and pistol loading, there are several types, so make sure you get what you need (any good manual will tell you what primer is recommended for a particular cartridge). You may need more than one type, if you're going to load more than one type of cartridge.

4. Powder 
A vast array of powders is available to the handloader today. Most powders are suitable to several different calibers, and several types of powder for each cartridge are usually given in the loading data of most loading manuals.