gedwyn, on Tue Feb 7, 2006 10:31 PM, said:
My question to everybody here is how do I get started down this road. What do I need? Hardware? Software? and such. I know I am probably asking a lot but I really want to start doing this but do not know where to begin.

Welcome to the wonderful world of classic console homebrew programming, a world of great promise, but mostly sweat, tears, money spent... and a lot of lessons learned along the way.
You first step will be to find documentation about the console system you're interested in. The Atari 5200 is as good a choice as any, unless of course you're masochistic enough to tackle Atari 2600 programming.
I don't know what kind of background you have in computer programming, but if you don't know a whole lot about low-level assembly language, it's going to be a bumpy ride any way you look at it.
Once you find the technical documentation (and understand it), the next step will be to seach the internet for existing development tools (compilers, etc.), and at the same time, you'll want to look for people who have already faced the challenges which are ahead of you. You'll find them here, on this forum, but also in dedicated newsgroups and similar places.
Just one piece of advice: Trying to go as far as you can with as little assistance as possible is not the way to go. Make friends first, and show them you're serious by building some technical demos to get to know your target hardware, and never hesitate to ask for advice, because as you will find out, technical documentation has a way of answering every question, except the questions you really need immediate answers for.
Good luck, soldier!