Your question is very broad so I've attempted to give you some high-level answers with examples to aid your understanding.
Do hackers have special hardware to intercept digital messages or anybody with a standard computer and internet can do it?
Yes and no. A hacker could intercept messages using nothing more than a bog-standard PC, or they might purchase a different WLAN card, a Wireless Access Point (WAP), virtualisation software etc to assist with their work.
For example, on Windows one could setup Client Hyper-V for a Windows Server machine with DNS and DHCP, and use Fiddler to intercept HTTP traffic using WPAD proxy detection. You could do something similar with your own WAP with a common SSID like 'Starbucks'.
Do hackers have some specific software?
Hackers will likely use a combination of their own scripts and exploits along with exploit toolkits that use and share other hackers' scripts and exploits in a way that's easier to use and execute. They may be more likely to use Open Source Software (OSS) as it is easier to modify at a low-level to change the normal and safe operation of the software to enable exploits to run.
For example, MetaSploit is a penetration testing tool that can be used by White-Hat hackers.
Can any device be attacked? (phones,.. )
Probably, yes - anything with a network connection creates an attack surface which could be exploited. The exploits may be directed specifically at different devices (e.g. a vulnerability in iOS on an iPhone) or on an embedded OS on a networked printer, or on a protocol with a vulnerability that is implemented on many devices, such as HTTPS. HTTPS is likely to be implemented on many devices, from phones and laptops to Internet of Things (IoT) devices like smoke alarms, door locks and even kettles!