WARNING: The output of only one of these is sure deadly, as they deliver 0.5 Ampere at 2000 Volts. Be extremely careful and always pull the plug when fiddling around!!
You will also have to use some kind of switch-on current limiting. Microwave ovens contain such a circuit as well (small pcb with relay on it), or you may use a variable transformer and slowly go up from zero to full mains voltage. Otherwise your fuses will very surely blow. I also use a 20m extension cord and an individually fused plug. Don't roll it up, it gets warm.
With 4kV, you cannot arc over more than a few mm, so that doesn't seem much. But due to the high output current, you get an extremely hot arc you can draw to a length of 10cm or more. Beware! The arc melts down usual copper leads in only seconds. Use large metal terminals or very thick copper wire (10mm^2 cross-section) to dissipate the heat. Place them at a distance of some cm, power up and draw the arc between the terminals with a copper wire attached to a long plastic handle. For nice pictures see Sparks and arcs.