Well if you buy it through your host they'll usually take care of every little thing for you, but you should check out the $$ first.
If you take care of it yourself:
I use directnic, $15. There's some places that are cheaper but I've got 4 domains through them so I keep using them just to keep it simple.
Buy the domain, email your host so they can set up the server and tell you the info you'll need. They'll give you 2 sets of info, one set will look something like this: server1.server.com, server2.server.com
The other will look like this: 555.444.333.222, 554.44.3234.324
then go to directnic (or wherever) and stick 'em in the slots in your account.
It's actually alot simpler than it sounds.
