Here's a simple high-voltage diode stack. I made it up from lots of UF4007 ultrafast diodes, which are rated at 1kV each. A total of 96 diodes are used, all soldered in series, but they are done in two bundles of 48. The center of the series string is brought out to an additional connection. This way, if I needed a full-wave bridge, I'd just have to make another identical stack.
Diodes were from EBay - someone had a really good price on a bag of 100. The box is a 40x40x20mm potting box from Spiratronics. The three brass terminals were turned from stock and are a tight fit in holes drilled in the potting box - this prevents any leakage of the potting compound.
For potting, I used some thin epoxy resin and chucked in some yellow dye for fun. A quick vacuum removed all the air pockets. During curing, it overheated and a small void formed near one corner, which I filled with more clear epoxy. Once set (cured at 60°C for 6 hours), the excess was milled off to give a nice flat surface.
Although the whole string would in theory withstand 96kV, I'd only trust it up to maybe 30kV since there's no attempt at equalising the voltages across the diodes.