A cheap experiment to demonstrate the relationship between resistivity and heat output
Nichrome. 

Strap a piece of this stuff across the leads of a 6-volt lantern battery and you can melt thread, fishing line, Styrofoam, etc. It gets really hot - sometimes visibly red hot, depending on the battery. Check this out: http://www.amazon.com/Nickel-Chromium-Resistance-Bright-Diameter/dp/B000FMUF4E/ref=pd_sbs_indust_1

You might also be able to find it at your local hardware store.

Or, for an even cheaper (though much less awesome) experiment, use a thermistor: http://en.wikipedia.org/wiki/Thermistor. I've gotten them on Mouser for a few dollars each (of course, I don't buy in bulk).

They are very cheap, and the temperature rise is easy to calculate (calculations might fall under the category of "self-heating" in datasheets, and on Wikipedia).