Wayno is right, but the shoulder also helps keep the cups from wedging together for any moves that require nesting. They should also have a "well" in the base deep enough that any balls resting there don't roll off.

If you're creative enough on your own, you could use coffee mugs and make your own routine. But first you need to know the basics and the easiest way is to buy a set of cups designed for the task. The Bazar de Magia cups sold here on Penguin is probably the cheapest starter set you'll find here. Don't be tempted by the low price of the Uday cups. They lack some qualities necessary to learn certain moves properly.

Heh. My kind of woman.

Couldn't resist touching this one. Heh. Left yourself wide open. Boy does my maturity show today.

A nesting set isn't necessary. Though there are some displays that rely on them nesting.