You will need a lot of stuff to build this cube! Here is a list of what we used - it might be incomplete, we'll correct as we find mistakes!

32x32 RGB LED panels - not all LED panels are going to work - LED panels come with certain pin and LED configurations. You can build a cube of any size really, but for this cube we used 6 panels, 1 per side.
LED video wall sender/receiver set with IDC adapter plate from Adafruit - they come preprogrammed for this tutorial.
You will also need 16-pin IDC connector and thick 5V power cables for the above. Our panels come with them. Make sure you have 6
2 Long 16-pin IDC cables. This is to connect from the board to the first row of panels, for this design you'll need 2. Make yourself or buy from a cable assembler.
Oval T-nuts, one bag
1/16 nylon spacer that will fit M4 screws - get a bag of 20
1/2" (12mm) M4 screw - get a bag of 20
Slotted aluminum extrusion - One 2' long piece, to be cut for the frame.
Double Corner Brace - Three pieces
M4 10mm screws and slim T-nuts - one pack each
5V power supply with at least 20A output, 30A is better. A big ATX power supply can do this and is available at many computer supply shops
ATX power adapter cables can be useful if you're using an ATX supply. Cut the yellow wire out so you don't accidentally send 12V into your panels
Power Distribution Bus - two of these to distribute power within the cube.
12 AWG stranded core wire - red and black, one foot should do the trick.
Ring terminals that will fit 12 AWG - these may or may not be used depending on the panel power plugs
Heat shrink
5V 1A power supply with 2.5mm jack. This is not a standard size jack, but we used our compact switching adapter with multiple jacks and it works. Just make sure you use 2.5mm with center positive and select 4.5V on the adapter.
Ethernet cable - we used up to 100 ft long cable with success, any Cat5 cable ought to work. We have up to 10ft long in the shop
Access to a computer with Windows XP/7 if you want to run the configuration software - the config software only needs to be run if you want to change around the display configuration
Access to a laser cutter and acrylic, though can be substituted.