To make a Jacob's ladder is dead simple. (It is also simple to make you dead, so be careful).
All you need is a neon sign transformer, two straight metal rods (coathangers, if you have nothing else), a few wires, and a wooden or plastic base of some sort, to mount it on.
The transformer takes mains voltage on the primary side, and gives you about 10-15kV on the secondary side.
Wire up a mains plug to the primary.
Mount your rods on the base, so that they are angled slightly apart - about a half inch apart at the bottom, and 2 inches apart at the top.
Connect one side of the secondary to each rod. Note that the insulation on most common cables is only rated at 1kV. Hence, you may wish to provide some sleeving over the cables.
A good idea, is to have a perspex shield around the rods. This serves two purposes:
1) It forces the hot air to move upwards, instead of sideways
2) It keeps unwanted fingers away from high voltages
Note that you need to leave the top open (for the hot air to escape)
If you're not sure which connections are the primary and secondary on the transformer, the secondary (high voltage) usually has large ceramic insulator on each connection, and are spaced well apart from each other. The primary connections do not have so much insulation, and are closer together.
Having connected it all up, plug it in, and switch it on! (The first time, you may want to use an extension cord, and stand in another room, in case something is screwed up and it goes bang :lol: )
If it doesn't give you a satisfactory result, you may need to adjust the rods (bring them closer together / reduce the angle). REMEMBER TO SWITCH IT OFF BEFORE DOING THIS!!!!
The transformer may be a little difficult to find - I'm lucky, I got mine from my work (I work for an electricity distributor) - you might find one in scrapyards, or maybe a neon sign manafacturer can give you an old one for a few bucks.