The Mash

I want to out line a basic mash here. The below steps I use with high quality malts, ususally English Maris Otter of the floor malted variety. All things considered, floor malted barley has the richest and deepest flavors, and this translates through the mash into the finished beer. See the subpage on Decoction Mashing, which is my preferred method for making the German styles. I tend to prefer taking the time for a step mash. It may not be necessary, but I do it anyway and it does make for a great beer at the end of it all. Mash techniques are easily researched and can be found online, or in books such as the Papazian. What the brewer does as far as mashing goes should depend on personal preference and equipment used, as long as the basic conversion of the starches to sugars take place. Trying to duplicate a commercial brew is always fun to try, but the odds of success are always slim as every brewer will leave an imprint on the beer that makes the beer taste different. Instead of worrying about attempting to make your beer taste like someone else's, concentrate on making certain the process is correct. The beer will be good, and it will be yours.

Basic steps:
1) Choose a recipe based on the style desired. Pick from books or online as there are plenty of sources, also see if there is something that interests you here in the recipe section.
2) Quality malts make for better beer. The guys at the shop often brew using the shop's ingredients and know how fresh the grains are. Homebrew shops usually offer to crush the grain as well saving the need for purchasing a malt mill of some sort. A proper crush that is balanced between cracking open all the kernels and pulverizinb the kernels is best. Too fine a crush will result in a stuck run off, whereas to coarse will reduce efficiency.
3) Do research ahead of time on the water being used. Is it hard? Soft? these factors will impact the beer's character and flavor. Soft water for example is best for German lagers. If calcium ions are below 50 ppm, then there may be issues with acheiving the proper PH. Brewing books such as the Papazian will assist in water adjustments as needed.
4) The first batches of all grain beer should be kept simple. Doing a single infusion mash with highly modified English Pale malts is a good starting point, as water may be added to the grains and held at one temperature for the proper amount of time is a good way to begin learning.

Suggestions: I use a heavy duty 316SS 5 gallon pot with a thick plate of steel (or aluminium) on the bottom. It effectively mashes 12 pounds of grain, and I use it even for 13 (thicker mash, but it works ok). This allows me to add heat on the stove via gas flame and control temperatures, as well as raise the temperature for lautering. The 316SS holds heat well, and also lasts forever. It does cost more, although ours was donated. This allows for making beers of all sorts up to around 1.070 OG (around 17 Plato or so). It is worth the investment or the time. Maybe there are second hand examples of this sort of pot out there someplace, so search on line or ask relatives. 
For larger batches, I find it easier to use a large Igloo cooler. They hold the heat very well. I can hit gravities up to around 20 or 22 plato and am only restricted to this by the size of the lauter tun. The trick here is to add hot water to control the mash temperatures (or cold water if the desired temp is overshot). Choose your method and stick with it. Learn the system that you the brewer put together and practice. Adjust as needed. It takes time and practice to consistantly make great beer. Do the readings such as the Papazian books as reading about beer helps sort through the problems and pitfalls more quickly, and helps to engineer the process with the equipment that may be laying around the home.

What I do:
I typically do a mash in and allow the grain and first dose of water to sit for 10 or so minutes at around 120F (protein rest). This typically is not necessary unless using malted wheat in the mash, but it will activate enzymes which will actually count toward the entire mash time. Using a protein rest will help with foam stability and clarity in the finished product. It also seems that the protein rest aids in the health of yeast during fermentation by providing nutrients. There are two rests (Peptidase at 113-122F and Protease from 122-140F) here and a whole bunch of technical jargon that if interested can be researched and studied in further detail. I have found that a rest to achieve homogenius mash temps in each of these ranges seems to make for a cleaner beer and a quicker fermenting yeast.

Gradually step up the temperature by adding hot water until the temperature hits 150-155F, with a break of 10 minutes after each water addition. Mash temperatures in the 145-160 range are needed to convert starches to sugar. I like to leave it in the 150-155 range for a good 30 minutes or so, then raise it up to 160F for 5 minutes to assure conversion is complete. Again, read about mashing in the Papazian books or other available sources. Mash out temperature is around 170F. Each brewer will need to develop his or her own technique depending on the equipment used. A thermomter of the floating variety can be kept in the mash the whole time, but I have found that these react slowly to temperature changes. I have a hospital grade thermometer as well that reacts more quickly for quick readings. I mash on a stove top with 4 gas burners, using one for temperature control, and the others for heating sparge water or doing decoctions. I have found that a gas flame works best. Start heating sparge water a half hour or so before the the mash out temperature is reached. Each brewer will have to time things on his or her own so as to have 170F water ready to sparge when the mash is ready. Keep in mind there may be temperature loss in the mash when sparging, and also temperature loss with the sparge water depending on the set up, and compensate accordingly.

There is something that I believe is magical to a lower mash/dough-in and slowly raising the temperature of the mash. The finished product seems to come out more drinkable, with few if any off flavors. I have been using the same method now for years and the combination of high quality malts, low temperature mash in with step mash, and a full 90 minute boil is a key combination and it is something I wish everyone would do. Try it and see for yourself.

Notes on mash conversion times and temperatures:

@ 158 degrees F and conversion is complete in 20 minutes
@ 150 degrees F and conversion is complete in 45-60 minutes
@ 145 degrees F and conversion is complete in 90-120 minutes

All the above conversion times assume a properly acidified mash.

Highest fermentable yield occurs at 149 degrees F
Highest extract yield occurs at 149-155 degrees F
Lowest fermentable yield occurs at 155-158 degrees F

When conversion is complete, these remaining steps are for separating the sugary wort from the grains:

5) Set up an area for sparging where the hot liquor tank can be placed above the sparge vessel and gravity can be used for sparging, with the brew kettle down low to catch the runoff. Get started by re-cycling the wort run-off through the grain bed until the wort runs clear, then begin collecting (usually around 2 gallons of wort gets re-cycled). Sparge slowly to maximize efficiency and collect as much sugar from the grains as possible. I leave much of the sparge water on the stove to keep it hot until it is needed, and add it to the bucket gradually. I have found that I lose quite a bit of temperature in this whole process so I keep the sparge water at around 180F as the grains tend to drop to the 160F range. Astringency (a dryness flavor like grape skins) can be caused by the mash being too hot (over 170 F when sparging) so until there is a feel for the system, keep an eye on the mash temperature. Cooler water can be added to compensate if necessary.
6) Vorlauf: One step that is a very good idea is to recirculate the wort runnings until the wort coming off of the mash runs clear. This is usually about 2 gallons. We use a pitcher that holds about a half gallon, and pour it back on top of the grain bed, that has some sort of plate resting on top so as to deflect a channel gouging stream of hot wort and prevent it from disrupting the grain bed. The brewer can use whatever technique he or she desires, but the idea here is to establish the grain bed as a filter, and filter out all the haze causing compounds and other nasties that are present when the sparge first commences. Using a separate container to recirculate the wort until clear does work well, but be warned that using a method that aerates the wort during this process is (like a watering can in place of a plate) can cause astringency in the finished product. 
7) I use a spinner style Phil's Sparge Arm for sparging. It works well in creating a whirlpool of movement that can get most of the sugar from the grains. Try and match the run off of hot water with the run off of the wort. Always leave at least all of the grains on top of the bed covered with a layer of water.
Phil's Sparge Arm
Phil's Sparge Arm delivers hot water to the grain bed.
8) Avoid oversparging. Do research on this as there are plenty of discussions in books or on line. The goal here is to obtain around 6 gallons of wort. It will be more difficult to get this amount when making lighter beers as there will be less grain and therefore less sugar in the mash. If there is a refractometer available, readings can be taken to see if sugars are still being rinsed from the mash. For more delicate ligher beers, stop sparging when a reading of 2 plato or brix is acheived (1.008 SG). Add water to the kettle to obtain sufficient volume if needed. More robust beers can be sparged down to 0.5 to 1 plato or brix. The brewer will get a feel for this process and adapt to a suitable style that fits the equipment. Do the reading.
9) Stuck sparge: Obviously this is something that is to be avoided. My advice is to first make certain that grains are properly crushed. Your homebrew shop can help with this, but a proper malt mill will make a proper crush. High adjuct brews with unmalted wheat or barley can cause problems, but using the flaked form of these can remedy the issue. Wheat beers with more than 50% malted wheat are prime candidates for stuck runoffs. When experimenting with beers such as a high malted wheat  brew, add rice hulls to the mash. 1/2 cup per pound of grains should do the trick.