I saw another climbing arc project here and thought: Hey, why not make a tiny one!
Step 1: The transformer
First you want to find yourself a good neon sign transformer. It can be anything from 6kv to 20kv. Anything under 6kv and the spark will not spark, anything over, and you could damage the small electrodes. For this project, I used a 9kv @ 30mA made my Allenson. It will run about $10 to $20 on eBay. Or, get one from a dumpster behind a bar.