Heating and Ventilation
Your existing furnace should be able to handle the heating requirements for your finished basement. You may need to make some minor modifications, such as extending your heat distribution pipe to 5" galvanized steel so the openings are located 16-inches from the outside walls. Simply run the pipe to the location, install a boot, and after the ceiling is finished, install a register.
Cold air returns will help the air in your basement circulate and keep it feeling fresh. Add a cold air return to your existing air return by sheeting and closing the space between 2 studs and linking the cavity to an existing return with a metal take-off and elbows. Cut a hole in the outside of the wall between the studs and cover it with a cold air return register.
If your home already has "roughed in" plumbing, then adding a toilet or a sink is something a handyman can do himself. In these cases, all you need to do is install the fixtures and run the water pipe once the room has been constructed.
If you don't have roughed in plumbing, or if you want to have more than a sink and toilet, you will probably need to to break the concrete and install an extra drain line. Doing so is messy and dirty work; unless you know exactly what you are doing, you would be well advised to hire a plumber to do the actual plumbing work. Obviously, you can still do the construction of the room. In fact, you may want to frame the bathroom before you break any concrete so that you can position your fixtures properly.
If you want to try to your hand at plumbing, keep in mind that all plumbing requires a permit. It must be inspected prior to closing the walls. A plumbing store may be able to advise you on the local code and may even have mock-ups to show you what you need to install your basement bathroom.