In today’s project on diyphysics.com, David Prutchi shows how to build a Cockcroft–Walton multiplier using a “ladder” of capacitors and diodes on perfboard, submerged in mineral oil, inside a sealed plastic container. The multiplier takes high voltage AC, e.g. from a TV flyback transformer, and both rectifies it to DC and steps it up considerably. David reports outputs of 250kV given 12V input at the flyback driver. A handy feature of his design is that it can provide high-voltage DC of either polarity with respect to ground.
And yes, to be clear about it: Making a mistake here could be very dangerous. You should understand and be comfortable with the proper safety procedures for handling high voltage electricity and charged capacitors before seriously considering a project like this. [Thanks, David!]