Snowboard
Wear clothes in layers so you can add/remove them depending if you get warm or cold. You'll need good gloves/mittens and a pair of goggles, and a pair of warm socks (maybe a spare pair too). For pants, snowboard pants (expensive) or cheaper ski pants are fine. Just dress appropriately depending on the weather and you'll have a much better time.
Maybe you'll want some wrist guards or helmet if you're worried about that type of thing, but it's not necessary.
Other than that, you'll need a board and boots. Make sure the boots are comfortable otherwise it'll probably suck. A leash might be required/a good idea, it attaches your boot to the binding on the board to prevent runaway boards.
That's all I can think of at the moment... just kind of normal stuff, you don't need anything fancy.