The Tank
Bearded dragons grow quite quickly when cared for in the proper manner. That being said, unless you have a few empty aquariums/terrariums around the house, or don't mind the expense of upgrading to a larger tank fairly soon, start with an enclosure suitable for a 20 inch adult dragon. I recommend a 50-55 gallon size. You can often find these second hand at flea markets and places online such as Craig's list. Let people know that it is ok if the aquarium leaks and you might find one for no cost at all!
The Substrate
There are many opinions as to what satisfies the requirement for good substrate. In my opinion, the best thing to use for juveniles and adults is ground walnut shells. I use the zilla brand which is easy to find and not very expensive. The walnut shells allow the dragons to satisfy their digging nature, binds well with excrement for easy clean up and does not smell as long as the cage is cleaned on a regular basis. 
Other options would be newspaper (easy for crickets to hide in and under), tile flooring (not very absorbant, unsightly with runny messes between cleaning), cage carpet (cleaning and washing is a chore) and finally, wheat bran (this gets expensive after awhile). Notice that sand is not listed as an option. This is because sand of just about any size or grade can and will cause impaction of the gut in dragons. You will hear people say that they have used sand for blahblahblah and never had problems. They will eventually have this happen. Please don't risk your dragons life by making a poor substrate choice.
Lighting Needs
Remember that when it comes to lighting, you are trying to mimic the Australian Outback. Dragons like it hot! They need a nice hot basking area, something like driftwood or a rock to climb up on and take in the artificial rays. At the other end of the tank, they would appreciate a little cooler temp so as to help regulate their body temperature when they get too warm. It is best to have thermometers at both ends of the tank so that you can be assured that there is a cooler spot. Do not use heat rocks! Warmth should come from above, not below, the dragon. The cooler part of your tank should be around the 85 degree F range with the basking area around the 100 degree F mark. The bulbs you choose are very important. A full spectrum UV bulb rated for desert reptiles is best. You can find these in spiral compacts, flourescent tubes and many other shapes and sizes. I use a long flourescent tube for the UV needs and a heat-providing basking bulb over the dragons basking spot as flourescent bulbs do not get very warm.
A bit about "outside". While your dragon will benefit from the sun's natural rays, it is best to be cautious and aware of dangers of outside activities. Left out for long periods could actually cause overheating in the dragon especially if you put the tank outside. Quite similar to being left in a car with the windows rolled up.
Other dangers include picking up parasites from the ground and predator animals making a snack out of your pet! If you want to "air" your dragon, put him on your shoulder and go sit in a lawnchair for a bit.