Actually, there's both! You can buy the individual needles at a craft store; they're called circular needles. They come in a variety of lengths. I generally like to have a length that's a bit shorter than the number of stitches. If your cable is too long, the stitches will be stretched across it, and it will be hard to work them. For your afghan, a 29" would be good if you are working with worsted weight yarn. If it's something thinner, you might try a 24" needle.
They also make kits, where you can attach various sizes of the needles to a cord. These are called interchangeable needles. I haven't gotten one of these sets, but I am thinking about it. Here's an example:
The awesome thing about circular needles is that basically anything you can knit flat can be knitted on circulars and like dibbs said, they distribute the weight better and make it easier on your hands.