A (Slightly) More Elaborate Radio
If you want to get a little more elaborate, use a metal file and two pieces of wire. Connect the handle of the file to one terminal of your 9-volt battery. Connect the other piece of wire to the other terminal, and run the free end of the wire up and down the file. If you do this in the dark, you will be able to see very small 9-volt sparks running along the file as the tip of the wire connects and disconnects with the file's ridges. Hold the file near an AM radio and you will hear a lot of static.
In the early days of radio, the transmitters were called spark coils, and they created a continuous stream of sparks at much higher voltages (e.g. 20,000 volts). The high voltage created big fat sparks like you see in a spark plug, and they could transmit farther. Today, a transmitter like that is illegal because it spams the entire radio spectrum, but in the early days it worked fine and was very common because there were not many people using radio waves.