IMO, the geyser exhibit in the Exploratorium is one of best demonstrations I've seen in a museum. Far more impressive than a tesla coil, and contains a really good explanation of how it works (unlike the vast majority of tesla coil exhibits).

Sure, a tesla coil is flashy and a pretty awesome (in the biblical sense) demonstration of man's harnessing of electricity, but they don't really tell you much about how electricity works. A simple snap-together circuit with a battery, some wires, and some incandescent light bulbs does a much better job of that.