Well, that is up to you. What type of research are you doing? I preferr to actually see or hear what's there, so I use cameras, video cameras, and audio equipment.

This is my setup-

1 Sony Handycam 60GB

Digital camera for stills

Digital audio recorder

There is plenty of other stuff out there that you can use, but I find no need. The popular thing these days are various EMF meters. Why? So a light goes off from time to time, and maybe there is some fluctuation in EMF levels in isolated areas, so what? Some people are satisfied with that, and I suppose it gives you something to show a homeowner when you don't capture any activity, but it's not for me.

To sum it up, use as much or as little as you feel you need to capture what it is that you want to capture. Having more equipment doesn't make you a better or more professional researcher, as many groups believe these days.

Does everything have to be digital?

Generally recording equipment should be digital in my opinion, as they are more user friendly. Not only can you view the picture you just took, but you can immediately upload the information to a computer for review or cleaning up.

This is not to say that you can't get results from even the one time use disposable cameras, they often produce results, so it's really up to you.

I agree about digital tools being more user friendly. I suppose if you were a photographer and had a lab it would be ok to use film, but that would either get expensive quickly, or would restrict your photos. If you have to pay for the film you might be less apt to take the random pictures.