Ah, the Marx generator. I have fond and not so fond memories of building my first one. It worked very well, I knew this because of the sort of out of body feeling I had when I got zapped by it. Anyway, it works by charging up a bank of capacitors in parallel and then are discharged in series. It will turn a few wimpy volts into something that will quite literally take your breath away. This site has a nice semi tutorial on how one is built. Go have a read and start scrounging in your junk box for some parts (mind you, keep a hand in your pocket to avoid making a dead short across your chest and through your heart. It’s not a sure thing but it helps)
Marx generators at madlabs.info
More info over at Wikipedia