Even the smallest of these displays will use enough power to warrant its own power adapter, especially as they generally do not use the 5V that the raspberry Pi uses. Often, they are designed to operate at 12V but will be happy at a range of voltages.
Check when you buy the display, what voltage it operates from. For some displays, a power adaptor will be included.
As an example, in this tutorial, we will use the Adafruit 3.5 inch display.
This display actually comes with two inputs (AV1 and AV2), I
simply cut one of them off, to neaten up the leads. You do not have
to do this, and you can use either lead when connecting to the Pi. Most only have one AV connection.
The unit comes in two parts, a control PCB and the display itself. They are quite delicate, especially the plastic ribbon that connects the two together, so handle with care.
I glued the control board to the back of the display, to make a single unit. If you decide to do this, just remember that if you need to separate them again, there is a good chance of breaking it.
The unit has a black and a red lead to supply the power. This can be between 6 and 12V. To make it possible to connect the bare leads to a power supply with a standard 2.1mm DC power plug, I used a Female DC power adapter. You can just pop the leads into the screw terminals, tighten them up and then use a regular DC power supply. Be very careful that the red lead goes to the terminal marked with a +.
The display I used has RCA sockets, as they are intended to be connected to a video source such as a camera or in this case the Raspberry Pi via a cable. As you are probably going to have the display right next to the Pi, you do not really need a cable, and an RCA Male to Male adapter will allow you to connect it to the yellow socket on the Pi.