A simple circuit held together and insulated with Sugru (I used Orange, but you may use any color you like: Orange was harder for me to "lose" however :-)

Step 1: A List of the Materials

One packet of (in this case) orange Sugru.
two wires, a few inches long
two things used for contacts (copper shielding, pennies, etc.; I used a cheap solderible
charm from a bracelet that had disintegrated, and the back of a push pin tie tack).
one neon bulb
and one 33 K resister.

Some solder,
a soldering iron,
and one heat sink for the bulb (while soldering); I use a hemostat

Step 2: Soldering

Using the heat sink (hemostat or other small clamp of some sort) hold the one end of the resistor against the neon bulb (placing the heat sink between the soldering point and the bulb), and solder it fast.

Next solder one wire to that resistor.

I then soldered the other wire to the other leg of the neon bulb (again, attaching the heat sink between the solder point and the bulb).

Then I soldered the copper piece shown to one wire, and the charm to the other wire.
Before moving on, I did use a little hot glue to insulate the wires from one another, in case they got moved during the final step.

Once everything was cooled down I could move on to the final steps.

Step 3: Final Steps

I opened the Sugru packet as per instructions, after washing my hands, and worked it a bit.

Then I flattened it out and folded it over the circuit I had made and bent the neon bulb upwards for greater visibility.

Working with the Sugru, I made sure every portion of the circuit was encased except the bulb.

To use this, one picks up device, places their thumb on the copper piece and touches (in the case of mine) the crown to a grounded object (something that would give you a static shock otherwise). The bulb SHOULD flash but the resistor should slow the discharge down enough to eliminate the normal "shock" one would feel .

Of course, you can make that pretty much into any shape you'd like, as long as you have the edge of the one contact exposed enough to touch ground.