I know a taser gauntlet is not what everyone should built nor is it very useful in our everyday lives, but it's a good start before you plan to make bigger projects that involve high voltage electricity. This is quite fun to play with and the electrical jump and sparks are very mesmerising to watch. But remember that this can easily hurt you and other people so be wise and be smart and most important, be careful using this device. :)
The core of this is a boost convertor you can easily get from online stores,
the one i bought was claimed to be able to produce up to 400kv (400 000 volts), but in reality it should only produce up to 5000 volts. But this thing is still lethal and should be used with proper precautions :D
I also made a tutorial on instructables on how to build this device.