All good points Driftrider.

Here in Arizona, you need to buy a hunting license. This will cover you for rabbits and squirrels. Anything larger IE: deer, you need both a hunting license and a "tag" for the particular game animal you want to hunt. For example Quail requires a hunting license and a migratory bird tag. The tag is then affixed to your license. Some of these tags can be purchased over the counter at authorized retailers: Wal-mart, Sportsman's Warehouse, etc. Big game tags go through a special process known as "the draw."

Your state's game and fish department will have all of this information. Hopefully it will also be online and available for download in a PDF.