there are whole websites on this, like
www.experimentalistsanonymous.com
To do simple bending, all you need is a 9 volt battery, a 30 watt soldering iron with a good fine tip, and some solder, and some rubber shielded relatively thin gauge electrical wire. It is also best to try to bend pedals that don't have those tiny tiny surface mount circuit boards with a lot of stuff on them, because it is harder to solder onto small components.
Basically, what you do is you put a 9v into it, connect a sound source to the input, and then connect the pedal to the amplifier. DON'T USE A POWER SUPPLY, you could fry the pedal, or maybe even yourself.
Now, you want to open the pedal up so you can see all those solder points on the bottom side of the board. Then you want to take a wire and systematically look for places that make cool noises by connecting two solder points. Stay away from the solder joints where the power supply connects, and where the switch connects, because it will likely do nothing. Look for caps, diodes, resistors, and transistors mainly.
Once you find a connection you really like, either remember it, or mark it with a marker. Then solder those two points together, then plug it in again and make sure you soldered good.
If you don't want the bend always on, you can on/off flipswitches at radioshack, on/off buttons, and momentary on buttons. By correctly wiring them inbetween two points on a bend, you can use the switch to turn it on or off.
There is a bunch of other stuff you can do of course, but that is just to get you started.
Here is another good place to learn about circuit bending:
http://www.anti-theory.com/soundart/circuitbend/