So let's get started!
Step 1: Materials
You will also need a pair of electrodes. Thin copper tubing works superbly for this, as it is very conductive and easy to bend. I went cheap and used a coat hanger that was laying around. Be aware that most coat hangers have some type of paint or plastic coating that will have to be removed. I had to sand mine quite a bit before the coating was gone.
A non-conductive base must be used to mount the electrodes. A non flammable base is also a good thing to have if you are worried about setting something on fire. Note that at excessive voltages, wood no longer stays an insulator, and starts to conduct electricity. If this does happen, you can count on that wood to ignite.
Some high-voltage wire is also recommended. I couldn't find any, so I used some 12 gauge hook-up wire. The thicker the gauge and the insulation the better!