Step 1: Materials
Soda can
Fun Fly Stick http://www.thinkgeek.com/geektoys/science/af4c/
Alligator clip
Xenon tube (optional i used this to make sparks)

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i was looking for a way to build one not buy one but i guess he doesnt actually say how to build it
http://www.instructables.com/id/DIY-Lightning-Wand-a-Handheld-Van-de-Graaff-Genera/
somebody probly wouldve got on my case for that....
Check out the Van De Graaff Group on Yahoo. http://tech.groups.yahoo.com/group/VanDeGraaffGenerator/ for a wealth of Van De Graaff information
I had a few misses but not to many.
You can see the arc meanders through the air, if it were a long exposure then there would be multiple arcs in the pic, and there is clearly only one; also there is only one point of origin and one destination again if it were a long exposure the would be mutiple. I don't want to argue but I have built and photographed many Van De Graaffs and you can capture the discharges here is an earlier one of mine. In this one you can see me taking the picture if you still have any doubts.
Be happy
http://amasci.com/emotor/icepail.html
you need to read the last parograf is.
The when the clip is on the out side this affect is in possible.