From the top of my head:
- Website
- User account management
- Fulfillment of legalities (all depending on local law): Know-Your-Customer, Anti-Money-Laundering, license to exchange currencies, banking licenses, money transmission license
- Banking partnership/account in order to process Deposits and Withdrawals in at least one currency other than Bitcoin
- Deposits and Withdrawals in Bitcoin
- Safe Storage of Bitcoins
- Some sort of Market software
You probably want to find a lawyer to tell you what legal requirements you need to fulfill for your Nation's jurisdiction, and perhaps somebody that can help you with the economical/marketing side of things.