From what I've learned you can't really do it with a 9v battery. It takes a lot of energy to get a spark going, and to do it continuously is pretty difficult. You could try a tazer, running on a 9v but the way those normally work is that they create the spark and then need to recharge for a few seconds.
If you have more space than a 9V battery, you can try using a Wimshurst Generator. They create a radical, cool spark.
You can check them out at -
http://en.wikipedia.org/wiki/Wimshurst_machine
and
http://www.xump.com/science/WimshurstMachine.cfm?SID=12