Why:
Thermite
A relativly simple way to gain some lab experience

Chemicals required:
Ferric Chloride
Sodium Hydroxide

Optional Chemicals:
Hydrogen peroxide
Sodium bicarbonate

Equipment Required:
2 acid proof, equal size containers to hold batch
1 heat resistant container, much smaller than before, not sure on any incompatible materials, would stay away from aluminum
Heat source

This is a very rough outline. I suggest you look up somewhere else how to do it, to tell the truth. I'm putting this here more for some practical guidelines. Althought I never made the thermite, I found this to be a very educational process.
Take a ferric chloride solution and add sodium hydroxide(in a concentrated solution) to it until precpitate ceases to form. If I recall, this precipitate was in two forms. It was a white sludge along with block spots. The block parts turned out to be solid parts that where very brittle. They dissolved very quickly once broken and where very fragile. Not qite sure what they where. This reaction is a precipitation reaction of iron hydroxide. The salt left in solution is sodium chloride. If I recall, normal iron hydroxide is black and theres some weird reason why its white. Don't remember why.
Try to condense and neutralize the mixture. Add some sodium bicarbonate until it is neutralized. I actually didn't do this, but it helps a lot, so I strongly reccomend it. Let it sit for a while. Perhaps as much as a day or two. Pour off the top layer. Add as much water as you can get away with, stir, and repeat. Do this as many times as you can. If you where doubling the water each time, you could probably get away with two times. I did this a good number of times which allowed me to skimp on the sodium bicarbonate. At some point during this, add the hydrogen peroxide. This will oxidize the iron hydroxide. If you don't, you'll notice that some white parts of your mixture will slowly turn brown. A 3% solution works just fine and can be got for $.50 at many locations(mostly dollar stores, expect as much as a dollar or two at other places). If you don't do this, you'll have to dry out your mixture and let it sit out for a while to oxidize. Grinding it up helps with occasional stirring. Might take several weeks. Needless to say, not very quick.
After you have your oxidized solution, take it and strongly heat it. This will drive off the hydrogen and oxygen in the form of water. Some of the oxygen will stay behind to form Fe2O3. I haven't tried balancing this, but its even possible that it might take some oxygen from the air. In any case, you should have some air running over it to drive out the steam. Once it goes from brown to a nice reddish brown, its done! It may sound complicated, but its really not that hard. Good luck!