When you buy a Raspberry Pi, it may or may not be sold with an SD card. The SD card is important because this is where the Raspberry Pi keeps its operating system and is also where you will store your documents and programs.
Even if your Pi came with an SD card with an operating system on, it is a good idea to update it to the latest version, as improvements and bug fixes are going in all the time. Since putting the operating system onto an SD card wipes everything else off the card, it is worth considering using a USB flash drive for your documents, so that when you install a new version of the operating system, you don't have the complication of copying them off somewhere safe before reformatting the SD card.
If your Pi did not come with an SD card then the minimum size you should get is 4GB, but buy a bigger SD card if you think you will need the space. (If you're planning to store media files or work with other SD card images on your Pi, you probably need a bigger card.)
This lesson shows you how to create an SD card for your Raspberry Pi.