Hydro v. Dirt: Hydroponics has more chance of failure and higher upfront costs, but has the potential to give you more control over your plants growth. Your call.

Lights: Anything but incandescent, halogen, or low pressure sodium. I prefer LEDs -- higher upfront costs but lower operating costs (and operating costs are the real killer with growing plants indoors, not upfront costs -- do the math. Also consider the cost of bulb replacements for their competitors). Don't buy into the claim that LED is worth 4 or 5 times as much light as HID, though -- it's more like 2 or 2 1/2 times as much. Also, either use multiple lights or a good reflector setup, since they're point light sources.

Fan: Fans aren't required. You can always use a ceiling fan. I have mixed opinions about fans -- in theory, they're a benefit because they keep the top of the soil dryer (reducing disease chance) and stress the leaves/stems, encouraging strength; however, I've noticed little strength changes from them, it dries *all* of the soil (not just the top) requiring more frequent watering, and of course consumes additional power.

No, you don't need different lights for different stages, just the right kinds of light in general. Blue will encourage more vegetative growth while red will encourage more flowering/fruiting. A mix of wavelengths will handle it all.

Make sure you have plenty of room for those cukes!

get 4 x HPS reflectorized lamps from HTG supply 400W each - the work horse supply of photons
get 2 x Metal Halide pulse start ballast 400W- these are available in kit form from Alladinslights in Ohio, with 2 basic horizontal type reflectors. You will have to contact your local hydroponics store and ask someone to assemble the pulse start ballast for you, and put them in cases. The HPS ballasts come already assembled. This is PITA but well worth it, because now you are using pulse start Metal Halide lamps that are FAR better than conventional MH. The MH provides a rich blue component that plants use to make chlorophyll. The MH lamps are also useful for plants in the vegetative stage. I prefer growing in soil, but what I do is get LARGE tubs (2 ft x 3 ft, that are used for under the bed storage) so I can put my pots in the tubs, and water the plants by pouring water in the tub, like a giant watering saucer). This is cheaper than hydroponics, less to go wrong, and the final result is just as good.
This is sufficient light for your garden, and any excess heat you will use to keep your living quarters warm. You need a fan to get rid of excess heat, but actually a quiet 12" type computer fan pushes enough air without driving you nuts from the noise. 2400 Watts will make the room get very warm and will cook the plants unless you can exhaust the heat into a nearby room, and provide a fresh air intake from outside to provide cool or cold air.

Oh yeah, I forgot, if you don't go with LED, you'll need a fan to drive the waste heat out of the room, so you pretty much have to have one. It's only really optional for an LED setup. I had been using a fan with mine, but I just shut it off the other day. It seemed to make little difference.

Because of moisture, choose your seed varieties with care. For the cukes, be sure to choose seed that is mildew resistant like MarketMore.