Electricity is just great. From powering your toaster to frying Allied tanks at 100 yards, the uses for the humble electron are countless. One of those includes transforming digital data into music... but not through regular speakers. No, we're just going to use electricity itself -- raw and unshielded -- to bust out some phat tunes.
What you're watching is a put-together "ARC Plasma Speaker" from Excel Physics. Other than some basic tools (including a soldering iron), the $US99 kit comes with all the pieces you need to build your own unit.
The "speaker" produces sound via a 30,000V arc of electricity, set between a pair of screws. The arc ionises the air, which results in an audible noise.
If you'd like to buy one, you'll need to add $US30 to the price for shipping to Australia and you should be aware of the disclaimer attached to the kit -- it shouldn't be left unattended, used for longer than two hours or placed in a poorly-ventilated area.
Finally -- and this should be obvious -- under no circumstances should you touch the arc, as shiny as it may seem.
ARC Plasma Speaker Kit [Excel Physics]