I'm going to do mine soon too. I've setup a booth in my garage with PVC pipe and plastic tarps.
As for a gun, it depends on your compressor, make sure the compressor has enough output for your gun. Lowest I've seen on a gravity feed HVLP is the Sharpe Platinum which can be bought refurbished. I've also got 40ft of copper tubing and water traps but still need a better filter.
For primer I've used a Harbor Freight knock off $50 HVLP gun, 1.4 tip. Sprayed DPLF90 this weekend and had no runs, etc. I'll be getting the Platinum for colors and clears though.
One thing you may want to consider is the paints themselves, if they contain isocyanates, you're gonna get sick. There was another post like this earlier. I bought a Hobby Air 2 which feeds me forced air from another compressor, it's good for sandblasting too.
This is getting long...but about those explosion proof lights, if you wanna go that far, better get some explosion proof fans too. Once the paint builds up on the fan motor, who knows what'll happen? My setup will be fans mounted to a box with filters pulling air from the booth in a siphon effect so no overspray ever touches the fan. I've got two fans blowing in as well.
You'll also want a DA sander, Airvantage makes one that only consumes 3.5cfm! Add all this stuff up and it gets expensive real fast...
Once my internet connection at home is working again I'll post some pix of my booth.
Owen