Hydrogen and oxygen, yep. The latter's easy to get, the former's a royal pain in the butt to store though.
There are "direct-methanol" fuel cells, currently being developed for laptops and cellphones, which work directly off the simpler methanol (methyl alcohol). No larger versions that I know of can do so.
Heavier fuels such as diesel oil, at present, must first be converted into hydrogen and carbon dioxide, often by high-temperature steam. Although this defeats the zero-emissions advantage of the fuel cell, the CO2 released is reported to be somewhat less than produced by a combustion engine of comparable power, due to the fuel cell's substantially better overall efficiency and thus its lower fuel consumption. (The waste steam from the cracking process and the steam that is the exhaust of the fuel cell can be used to spin turbines, improving the overall system efficiency.)
I have heard of research into SOFCs that might be able to catalyze a liquid fuel into hydrogen internally, but I haven't seen a working model yet.