something i've done in the past involved a relay and a 9v battery, and some wire. wire the battery through the NC contacts on the relay to the coil, and a couple wires hanging off of the coil. as soon as the coil is energized, it opens the NC contacts and removes power to the coil. no power, contacts close, and it repeats. the inductance in the coil makes the voltage go way up, giving a nice shock you can feel.
this might get you started in a good direction, i never played with adding more inductance or a transformer or anything like that, but i'm pretty sure it could get dangerous pretty quick if you do.