Perhaps the simplest connection that you can make to the GPIO on Raspberry Pi is to connect to a pin so that you can send a simple digital output voltage. To do this, you will use the GPIO IO pins to light up an LED. To be successful, you'll need four pieces of hardware: a solder-less breadboard, some jumper wires, an LED, and a resistor. Here are more details on these parts:
They are available at many online outlets and hobby shops.