Laser for drilling very small holes
I've used the laser from a DVD burner and let me say that it doesn't burn much of anything!  

I got several lasers from a couple of DVD burners and combined them with an adjustable focus lens that was specifically made for laser diodes.  I then shot it at anything and everything.  Here's what I can tell you about what burns and what doesn't:

Black Electrical Tape:  You can burn a hole in this.  It takes some time to get the laser focused right, but when it does you can burn very small holes.  It's hard to actually "cut" the tape with the laser.  It's more like making a series of very small holes than slicing a line through it.  

White paper:  Forget about it.  The laser, even when well focused, just reflects off of this and does nothing.

Black paper:  Will put small holes in it.  By small, I mean something around 0.5 mm.  Larger holes are difficult and needs to be made from a bunch of smaller holes.

Brown Paper (a.k.a. Cardboard):  With time and effort it can make small holes.  The holes only go through the first layer and not completely though the cardboard.

Plastic:  Will make very small marks in black plastic.  No holes.  Does nothing to light colored plastic.

Balloons:  Might pop a dark colored balloon.  Nothing to a light colored balloon.

Matches:  It can work, but it's hard.  It doesn't work on white or red tipped matches.  Darker colors, or matches marked with a black marker, will ignite.

So...  It won't work for ping-pong balls.  But it's still cool and worth making one to just play with.

Warning:  You MUST use eye protection with this!  Seriously.  I speak from hard-earned experience.  The laser, when reflecting off of brown cardboard, has enough energy to make your eyes hurt after 30 minutes of playing around.  If you accidentally got hit directly in the eyes or got a reflection off of something shiny then you'd be in a world of hurt.  At this wavelength and optical power, a simple pair of dark sunglasses is good enough in a pinch.  Of course a real pair of laser goggles is preferred.