Arduino is a complete solution. It comes with an Atmel uC sitting on a prototype board with a lot of pin out, and a usb connection to PC. So just plug into the USB, run the compiler, write your code, program it. The limitation on Arduino is that it pretty much seal the type of Atmel uC, so you get only that amount of pin, functions, and program space and RAM.
Then connect the pinout on the board to LED, siren, sensor etc. I think you can check with Azman, he hang around this thread earlier.
For Microchip, get those ICP (In-Circuit Programmer) type. it's program via 2-pin only, and standard power and ground connection. I'm using it and it's very easy.

But the programmer is quite expensive la. Cheapest around RM200. Or you can get those local assembly third party programmer, I think it cost around RM100, with smaller number of supported uC.
For Atmel, I haven't seen their programmer in Malaysia.
I think Arduino is best for starter, Microchip and Arduino is more suitable if you have plan to move on to intermediate and advance level.