Our friend David from Volunteer Lab Rat has built a tesla coil from a 15,000 Volt neon transformer. Make sure you check out his videos on the project page.
“An AC power supply, here a neon sign transformer creates 15kV. The transformer will charge the capacitors. As they charge up, the voltage across the spark gap will rise. Eventually the potential across the spark gap will be large enough so that a spark will jump across the gap. When this happens, a closed loop through the primary coil will be formed. Whenever you have a coil and a capacitor you have an oscilating circuit. (just like the ignition system of your car) These oscilations through the primary coil will then again induct an extremely high voltage through secondary coil. The process above repeats itself every time the capacitors has been dischaged across the spark-gap.”