All you need is a compact fluorescent light (CFL) and a flyback transformer.
Flyback transformers are found in TVs and CRT monitors. They make the high voltage, high frequency current necessary to trace the electron beam across the screen. They are small and compact, and you can take them out from an old computer monitor or TV.
CFLs are very popular high efficiency fluorescent lights. They are similar to their ancestor the fluorescent light tubes but use electronic ballasts instead of the big and heavy ballasts in the old technology.
The electronic ballast works by generating high frequency currents that are fed to a tiny high frequency transformer that boost the voltage and run the fluorescent tube. It is the high frequency that makes the assembly compact.
The electronic ballast generates less than 1000 volts. But by replacing the fluorescent bulb of the CFL with a flyback transformer, spectacular voltages can be achieved.
Step 1: Some Info on CFLs
Most CFLs have a similar circuit topology. All of them have 4 wires coming out of them. The wires are in pairs, and each pair connects to a filament inside the light bulb.
The CFLs I came across have the high voltage on the outer wires. You only need to connect the outer wires to the primary coil of the flyback transformer.
You will find a comprehensive description of CFL circuits on this page