I'd start with single coil pickups and a clean Fender tube amp! That's the bread and butter of the Jerry stuff. For OD/distortion I use a Boss DS-1, pre-Taiwan, found that for me it works best, but Jerry used a MXR dist+ and some other Boss overdrive pedals later on. Also, there has been lots of talk about the Earth Drive overdrive pedal, made by one of the members here. Enough people have said enough good things to convince me to add one to my chain in the near future. Really that's all ya need to get off on a good start: good single coils (strat) or split DiMarzio's, clean Fender amp with reverb (JBL's don't hurt either), and a little something for the dirt, as those Twins don't tend to break up at any sort of reasonable volume. Of course, if ya really want to get fancy, you can do the whole OBEL, McIntosh power amp, vintage Mutron, rackmount everything under a glass case, spaceship type rig. I'm not knocking it, I think it's a beautiful thing when I see a guitar players rig that looks like it can double as a time machine... It's just, I feel like some people could get discouraged when they see all that, thinking there's no way to do the Jerry thing on a budget, when really you can get some damn fine tone with a really simple rig!
