It depends on the situation. As a new diver with less than 10 dives under my belt, my dive resort offered me a penetrating wreck dive. The dive master led the way and I thoroughly enjoyed it. It was follow the leader-up stairways, down stairways, thorough hallways, from room to room. I loved it. There were many points were I could easily exit. I only needed a single flashlight.
If your interest in wrecks goes beyond follow the leader, then begin with a course like the PADI Wreck Diver. The special equipment you’ll need is pretty simple: a cutting tool (or 2), a primary light, a back-up light, a compass for navigation, a slate for mapping, and a line and reel. For extra safety you may also want to consider a spare air source. My wife and I also like to use tank lights like these so that we can identify one another when the lights are out.
To prepare for a particular wreck I go online. If I can get a map of the wreck, I’ll copy the map to my slate. If I can watch videos of others penetrating the wreck, I will study them before going.