All you need is a small light bulb and a battery, and a piece of wire. Use tape to connect a 1.5 volt bulb so its bottom touches the + end of the battery, then tape a wire to the side of the bulb and then down to the - end of the battery. That is it. You might have to hold everything together with your fingers to make it turn on.

There are many pages on the web about this such as this one at Energizer batteries.