Let's start with the line. If the water you'll be fishing is more than 3 ft deep, you should probably look into a sink tip line. If it's low water, you can use a floating line, but you should use at least a 9 ft leader so the nymph has adequate line to get down and drift naturally.
You can use the same type of leader you use for dry fly fishing, though nymphing gives you the ability to go to slightly heaver lines since you don't need to worry about sinking the fly with flouro leaders (flouro sinks well).
As for what strike indicator works best, that's really a matter of opinion. I would stay away from the pinch on stuff personally. I don't find that it really stays on the line well. I prefer to use a dry fly dropper myself. Your other choices are a piece of foam or yarn. Of those two, I prefer yarn, though I couldn't tell you exactly why except that it's the first indicator I used.
Whether to use split shot depends on three things: the depth of the water, the speed of the water, and the weight of the nymph. If the weight of the nymph by itself doesn't keep it bouncing along the bottom, then you need to add weight.
My passion for catching fish is eclipsed only by the fish's passion not to be caught.