This sounds like my sort of thread...
It can be made to work with pencil lead as well, especially the thin automatic pencil refills. If you put enough current through a piece it glows like a lightbulb. The softer the grade, the better because it has more graphite.
The best batteries to use are lithium primary or rechargeable, lead-acid, NiMH or NiCd. Small alkalines tend to drop more voltage when near-shorted and struggle to push enough current. That said, a PP3 (small 9V) alkaline and some fine wire wool is a great way to get a glowing glob of iron! My mother always wondered where her wire wool went when I was a kid, lol.