Yeah helmets are a must... The first time I went out I fell A LOT and hit my head quite a bit, and at the end of the day I was super cranky and very unhappy about my first experience.
I also reccommend getting some endurance shorts. RED protection make some good ones, a pair for women and for men as we have different needs for support. Right now they're clearing all the 2010 stuff so you might be able to get a pair discounted unless you want the 2011s. But I used the 2010s and nothing wrong with them. It definitely saved my ass from bruises because the first time I went my whole butt was splotchy looking from my bruises, my bruises outlined all my bones in that general area haha.