Yes, safety is incredibly important with one of these things... it's a lot of voltage, and could actually be fatal if you let it pass through you. So DON'T let it pass through you! I'll be mentioning safety precautions as we go, but the biggest one is this: BE CAREFUL. Never touch any part of the device while it's running, and double-check, triple-check, quadruple-check that it's unplugged before you approach it. Just because it's not sparking doesn't mean it's safe!
Other than the basic transformer, wires, and some safety stuff, it's all just window dressing... You can put a lot of knobs, dials, pipes and such all over it -- I also added a little plasma lightbulb which radiates pink lightning from its filament to its glass bulb (I saw a cool prop where someone had done that, and decided to borrow the idea).
Much of what I did on this prop was unique to my particular set of parts; as you look around for your own pieces, you'll probably need to adjust a lot of things, and improvise. But that's a good thing; in fact, it accounts for about 90% of the fun!