I am looking to convert to all grain brewing, and wondering what the best starting setup might be. I have seen some systems I am curious about, like this one http://www.flickr.com/photos/woodruff/2900156693/ what's the story with the 3 kegs. I know one is the brew kettle, but what are they other pieces, why am I seeing some setups that are tier ed? Info would be great.


Timber

That is an awesome system you are linking too, for sure! Those kegs most likely are:
A Mash Tun
A Hot Liquor Tun, and
A Boil Pot
The tiered setups are for using gravity to drain the kegs. The flat setups use march pumps to move liquid, which, in my opinion, is the way to go. These systems are all nice, but when I decide to go the 'expensive' route, I'll be using the Brutus 20 system:
http://www.alenuts.com/brutus20.htm

Having said all that, I've gotta say this...These are NOT beginner all grain setups! These are top of the line setups that can cost a lot of money to get started with. All Grain brewing can be done far easier and cheaper, using ice chests or water coolers.
http://cruisenews.net/brewing/infusion/
Check out this setup. This is the most common setup for starting with all grain brewing. You can modify this setup some, or go with a larger ice chest for 10 gallon batches. I have been using pretty much this exact setup since I started brewing beer, except that I use a valve in the tun, instead of the stopper. This is a very cheap, and very good starting setup, and it is what I personally would recommend for anyone who is just starting out in all grain brewing.

Hope this helps some!

Cheers
Dave

Dave is right, there are certainly many less expensive ways to brew all grain. My system uses the insulated cooler method. Only I have two; one for my mash tun and one for sparge water. Once you get the hang of it, you'll never go back to extract. The expense of the equipment is nearly offset by the money you save in ingredients. I buy my base malts in 50kg sacks and stretch my yeast over four batches so my cost per pint is a fraction of what it was when I was an extract brewer. Some out there would disagree, but I'd start off with 2 five gallon coolers. It's a good place to start and if you want to upgrade later, it's not hard to find someone who would gladly take your old coolers off your hands.

It's not really the set up that makes the beer it's the brewer. I opted for a single tier with 2 170k btu burners for HLT and BK which are kegs. THe MT is my 17gallon cooler. I use a pump with it and I love it.