10kV simple cascade

This device is perfectly suited to start with, as it is not dangerous and only requires some basic knowledge about soldering and etching pcb's (or a friend who knows). It makes use of a type of circuit called cascade (for obvious reasons):

Each stage gives the peak-to-peak voltage of the ac input, so all diodes an caps must be rated for at least this voltage. The sum of all output voltages gives the final output voltage. Example: Given an input of 230 V eff, that is 650V pp, and a 10-stage-cascade, the output is 6.5kV. 10kV is a typical, easily reachable value. In principle, the output voltage is arbitrary (you only have to use enough stages); in practice, it's not, as the last stages only get a small fraction of the input. More than perhaps 25 stages are not sensible, and even then you cannot expect the theoretical output.

Use a pattern like this (or develop your own!) and etch as many stages as fit on a high quality (epoxy) pcb. For each stage, you need two diodes (1N4007, 1000V) and two caps (630V, capacitance as fits your etch-pattern and wallet). Connect an Earth cable to the "earth" point of the first stage and an output terminal to the "output" point of the last stage.

For a safe input of about mains voltage, you should use two transformers of the same type (low voltage!) and connect the two secondaries, thus producing a primitive "mains insulation transformer". Only a few VA will do. Connect one of the primaries to the mains, the other one to the input of your cascade, the earth cable to a water tap or central heating pipe, and there you go!

Hints: Always earth your device, otherwise the transformer's insulation might be damaged. And, of course, keep clear of mains voltage.