Climbing is a very gear intensive sport but don't worry you can borrow everything you need from the club. If you are starting to get into it you might want to buy your own gear. The basic gear you need is:

Rock climbing shoes
A harness
A belay device
2 locking carabineers
A Chalk bag

Check out these local stores for gear
REI (South Side Works)
Exkursion (Monroeville) - more technical gear, more knowledgeable staff, and a 10% discount with Explorers Club membership card closed :(