You'll want, in addition to the magnetic jack, two decoupling capacitors, about 0.1uF, if you're ordering from DigiKey, part BC1160CT-ND will work perfect, at a whopping 6 cents a piece. They're useful for noise control, so you might as well order 10 (the minimum). If you don't have the capacitors, the jack will still work fine… you might have problems with some cable lengths.

I recommend getting the MagJack from SparkFun (PRT-08534), it's apparently the cheapest source, at about $2 with integrated status LEDs. If you do get one from SparkFun, you might as well pick up the breakout board for a dollar more. It'll probably save you lots of painful time trying to solder wires onto a jack, though it takes up a bit of space on the board.

Here's a quick schematic of how things need to be connected:

Connect the following on the SparkFun jack (for other jacks, see Rolf's page):
p1 = RD+
p2 = RD-
p7 = TD-
p8 = TD+

You also need to connect the transformers to +3.3V and also connect a decoupling capcitor between the transformer and ground. The transformers are on:
p3 = RD0
p6 = TD0

So connect RD0 and TD0 to +3.3V, and also place one 0.1uF capacitor each between them and ground.

A picture and schematic of the framethrower with Magjack is below.