Since my investigations are all about collecting empirical evidence, I use the following
equipment:

Olympus Infinity 76 35 mm film camera

Kodak EasyShare C310 digital camera--I use both a film and a digital camera to triangulate photographic anomalies.  I'm also thinking about experimenting with infrared film for the traditional camera.

Olympus VN-120 digital voice recorder with external mic.

Olympus S921 microcassette recorder--I primarily use
the digital recorder for collecting EVP's (Electronic Voice Phenomenon) and the microcassette recorder to record
interviews for later transcription

Actron infrared digital surface thermometer--I use this to detect isolated cold spots in a location

CellSensor EMF (Electromagnetic Frequency) detector--I use this to look for electromagnetic anomalies in a location and to rule out natural causes in EMF spikes such as wall outlets or appliances

Sharp VL-NZ50 Digital Viewcam video cassette recorder
with tripod

Tony Hawk Helmet Cam--This is a wearable cam that records everything I'm looking at

Dell Inspirion B130 laptop computer equipped with surveillance software, portable USB DVR (digital video recorder) and two mini-surveillance cameras (one with night vision capabilities) that are set to record motion.