Which games do I need?
Well, get the following games: Ruby, Sapphire, Diamond, Pearl, HeartGold, SoulSilver, Black and White. That's really all.
Do I just need to complete them?
What do you mean by that exactly? What else did you think you needed to do? Really, all you need to do is get all the Pokemon except for the legendaries. It's normally considered a complete National Dex when you don't have the legendaries.
Is there any trading involved?
Yes, a heck of a lot of it.
How do I transfer them all to one device?
From Ruby and Sapphire to Diamond and Pearl, you put either Ruby or Sapphire into the bottom of the Nintendo DS Lite, and put either Diamomd and Pearl in the top. Turn on Diamond and Pearl, and you can migrate Pokemon from Ruby and Sapphire (via Pal Park). From Gen IV to Gen V, you'll need two DS systems and you'll need both of them to contain either Diamond, Pearl, HeartGold or SoulSilver and the other containing either Black and White. Then, you'll need Nintendo DS Download Play.
Hope I helped. :)