Jacob's Ladders are the classic arc generators seen in mad scientists' labs. As a kid, we'd make them using high voltage transformers scavenged from neon signs. (Not safe, don't do it, etc.). Over at MAKE, Matthias Balwierz explains how to make a handheld version that presumably is a bit safer but still, Balwierz cautions, "Avoid any contact with the voltage. Don't build this project if you wear implants such as pacemakers, insulin pumps, or similar. This build is not safe for children, either." From MAKE:
This arc is simply air that has been ionized by the voltage, making it electrically conductive. The electrical energy flowing across the arc is partly converted to light, heat, and magnetic fields. This causes the voltage across the electrodes to drop significantly, as the resistance of the arc provides a load on the high voltage source.
The arc's heat — and, to some extent, its magnetic field as well — cause it to travel upward. At this point, the voltage is too low to ignite another arc. As the existing arc travels up, the widening gap between the terminals forces it to stretch. Recall that wider spark gaps require higher voltages for arcing: the arc keeps traveling until the voltage can no longer sustain it, at which point it breaks down. With the arc gone, there's no load on the voltage source anymore, and the voltage will again begin to rise. Once it's high enough for a new arc to form, the cycle repeats.