Build an ion (or flame) speaker set. Basically, the idea is that you ionize the air between two electrodes so as to create a current path in the air, and the resulting vibrations in the ions due to the varying voltage placed on the electrodes make sound.
villanova's explanation I know it can be done by lighting a fire between the two electrodes, and I'd imagine that you could also pulse ultra-high voltages between two normal electrodes, sort of like a highly controlled tesla coil.
The coolest demonstration that I ever saw, though, was when my professor showed me a water bridge this past November. He bought some exceedingly pure ($50/gallon) water and a 40kV power supply, filled two beakers to not-quite-overflowing with the water, places two electrodes (I think butter knives) in the water, and turns on the power. He then brought the two beakers into contact with one another so that the water from one beaker flowed into the other, and when he tried to separate them, the water formed a bridge from one beaker to the next, suspended in the air, several centimeters long. Apparently the math was not only beyond the scope of the course, but actually beyond the capabilities of Maple. According to my professor, anyway, the "highly ordered microstructures" mentioned in
the original researcher's work are bull, but I was too much in awe of what I'd just seen to actually understand what he was saying.