Years ago (2004) I made a high-voltage supply using a flyback transformer. Here's some photos of the insides.
The circuit used is nearly identical to that from Powerlabs' site at http://www.powerlabs.org/flybackdriver.htm. Here's a PDF of my circuit. The switch and shorting jack ground the transistor base to disable the supply. I tried using a series base resistor to vary the output power, but it's pretty ineffective. Output is around 15kV DC at 20W or so.
It looks pretty ratty but hey, it works. The blue fluff is from when I was doing electrostatic flocking and isn't essential to the operation!