I'm sure others know more about soldering than I do, but from what I understand, a soldering station usually has a temp controlled soldering iron. A stand-alone soldering iron usually has a fixed temp and a fixed watt rating. I use a 25 watt Weller and it works very well. I started with a 40 watt Radio Shack iron and found that it couldn't keep a consistent temperature. I hate to call it garbage b/c it got me through my first few projects, but it's pretty damn close to garbage.
You'll want a wet sponge nearby to clean your tip in between solders. You'll find some good practices here:
The Basic Electronics Soldering & Desoldering GuideIf you hunt through the forums, you'll find plenty of opinions on what people like for solder. I've only used Cardas Quad-Eutectic solder, but I've heard a lot of good things about Wonder and WBT.