I've been monitoring this thread, but so far haven't popped in to comment. Sometimes it is best to let other voices ring in.
The choice of probes and wells depends on several things:
How much actual forge time will it get? A forge run for a couple hours once a week will not degrade the probe as fast as one run at 2400F for five hours a day, making damascus. Obviously, if you are controlling a toaster oven, the probe can be a quite minimal unit. Gas forges are the hardest on probes. Run them up to 2500F or so at full tilt and they will eat up the most robust if not shielded.In my opinion, bigger is better here for a forge.
A thermowell is always a plus, but not a necessity. It will greatly extend the life of the probe, and give a more even response. If you can't afford a ceramic one, use a piece of replaceable stainless pipe with the end hammered or welded shut. You can change it to a new one when the pipe gets too eaten up.
Cost - If you can't afford a thermowell and a heavy duty probe now, start with an ebay cheapie that is robust enough for your needs. Build your forge with the thought of upgrading the probe and adding a thermowell later.
Money spent on better quality in things like the probe and well is usually money well spent. Just because it looks similar doesn't meat that an ebay item is identical to a more expensive dedicated gas oven probe from a supplier. Doing your research may yield a good buy...or show up a misrepresented item. Go to the manufacturers website and look up the item being offered on ebay. You can then decide if it is right for your use.
The PID controller is really nothing more than a digital thermometer with an automated switch in our uses. Most any unit will do the job. This is a place where ebay may net you three or four import PID's for the price of one from a manufacturer. You may even get the same high grade brand name unit, still in the box with all its paperwork, for about 20 cents on the dollar.
The SSR needs to be as big a unit as possible, a 25 amp unit is a good choice. The ratings are misleading. I think they rate them while installed to a heat sink used in a nuclear plant with LN running through the fins . The rating if used without a heat sink is normally only a fraction of the stated rating. So - use a good size heat sink....and a fan (old computer fan is perfect). The conditions around a forge are not usually the most accommodating for cooling, so the more you do to help the SSR out the better off you will be.
Wiring the thermocouple to the PID requires thermocouple wire. It won't read right without the proper wire here. Many who have built a forge have extra left over,and will share some. Moving the controller and SSR about 4-6 feet away from the forge is a good idea.
Build the unit with sound electrical connections. No twisted wires and tape! Use wire nuts, or terminal blocks, and proper gauge wiring. Use some sort of enclosure that will keep hands and such from contacting the wiring, while still allowing good ventilation. Blow out any dust occasionally to prevent shorts and other problems.
I'm off to set more diamonds. I'll check in this evening.
Stacy