In reply to La benya:
On most modern bikes the cassette slides onto a freehub body (The part that does the clicky freewheel bit). The cassette body itself does not contain any bearings, it is simply an assembly of gear sprockets and spacers (some of these may be connected to a 'spider', the outer, smaller ones are usually loose). The cassette is connected to the freehub via a splined joint and is secured with a lock ring. You will need an appropriate tool (shimano or campagnolo, depending on system used) to undo/do up the lock ring. Difference in cassettes is based on weight/materials/ gear range - you pays yer money. As said above, chain and cassette wear together - best change both at the same time to start with.
Before mounting a new cassette, check that the freehub runs smooth (it can get gubbed with road dirt). These can be more tricky to change, depending on tools available. If in doubt, get the local bike shop to do it.
Check the main hub bearings at the same time for any play (this can be done with the wheel attached to the frame - check for any lateral play; sounds of roughness; tight (or loose) spots during rotation).
Rear mech jockeys are also easy to replace, but depending on the type and level of wear/corrosion , it might be just as well to replace the whole mech.
Hours of wet afternoon fun!
N
PS videos of most of the above can be found on YouTube!
Post edited at 13:06