No, this is not the Hawaiian delicacy, but, according to wikipedia, is instead a form of juggling originally from the Maori people of New Zealand.

My practice poi consist of 2 skeins of yarn and 1 craft cord, takes about 10 minutes to assemble, and is very affordable.

The title pic is a beautiful shot of Nick Woolsey's fire poi.
For more on poi, check out www.playpoi.com.

Step 1: Ingredients

1 pair of scissors
1 10 yard craft cord (available at any craft store)
2 2 oz circular skeins of cotton yarn (available at any craft store)

Step 2: Wrap the Cord Around the Yarn

1. Unravel the craft cord, then cut at the midpoint so that you have 2 cords of equal length.
2. Stick your finger thru the center of the ball of yarn, then stick the cord through.
3. Tie a knot in the cord, then slowly, tightly, and evenly wrap the cord around the yarn over and over, until it covers the yarn like the picture.
4. Leave at least 3 feet of cord at the end (in this example, there was easily 6 feet left over).
5. Tie a knot at the end of the cord, wrapping the cord around the yarn.

Step 3: Make Handles

6. Next, hold the end of the cord so that the yarn ends at your armpit. This measures out the length of your poi.
7. Tie 2 loops at the end of cord in your hand.
8. Put your index and middle finger each into a loop, and re-measure.

If it is too long, you can loop the cord thru the yarn, and tie more knots.
If it is too short, take out the loops and try again.

Step 4: Rinse, Lather, Repeat, and Even It Out.

Now, do the same thing again on your second skein of yarn.

The toughest part of this whole thing is making sure both poi are of the same length.

Enjoy!

Step 5: Fire Poi Video

And for some inspiration of what you can do with poi, here's a cool video of Nick Woolsey's fire poi.
Or, check out more of his youtube poi spinning here.