you need the bsp any textures referenced, sounds, sprites, models, etc. You could embed custom textures in the BSP but I haven't seen docs on what the distribution shceme is for HL2. I think the server will hand you everything--which is usually slow and hurts those playing. Chances are you will have to do the rgular build a zip of all the file in the correct directories. Most people have no idea how to build a zip of relative directories, and since all steam installs have unique directory names, there will be countless confusion once customization of models, textures and sound start.
Say you have some custom content... I know people who downloaded the map can use it, but what about people connecting to a game? Will they receive all the custom content along with the map?
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So far it seems the source engine was not properly planned out as far as custom map content... Seeing how CS is one of the most popular things in gaming, it's a darn shame. Gotta use default stuff, unless there's a "yes" answer to my above question.