Setup:
- Vmware or virtualbox
- kalilinux virtual image (https://www.kali.org/downloads/)
- Windows XP (https://drive.google.com/file/d/0Bw5NcQgQwHkjQURDVUFQT2RWZTA/view?usp=sharing)
- Metasploitable (https://sourceforge.net/projects/metasploitable/)
For Web Penetration you would also require image of bWapp (http://www.itsecgames.com/). You should see this video to learn web penetration:- https://www.youtube.com/watch?v=MMlo7nchP84
Video to learn how to setup the environment:- https://www.youtube.com/watch?v=7t_5ikxpyGk
You can also learn penetration testing by applying it to OWASP(https://www.owasp.org/index.php/Main_Page)
If you want to apply some exploits , you can find them at https://exploit-db.com/ or https://www.cvedetails.com/ .
If you want to learn metasploit, you can try tutorial by offensive security(https://www.offensive-security.com/metasploit-unleashed/)
You can also try securitytube course:- http://www.securitytube.net/groups?operation=view&groupId=10
For packet capturing you will require Wireshark:- https://www.wireshark.org/
Learn network sniffing techniques like arp spoofing, men-in-the-middle attack etc.
Tutorial for network sniffing:- https://www.youtube.com/watch?v=r0l_54thSYU
Thanks! Keep Hacking!!