@klaatu I used to build them as kids. If you do it right its not too hard, but if you dont know much about radio it can be hard (I'm an RF engineer among other things so I have an advantage :))

Basically you need the right size antenna (or atleast a reallllllly long with with a good view of the sky). You also need to be very particular about how you position the pencil lead.

The place most people mess up is one of those two. But if you have an antenna that goes from the ground up about two stories (usually a wire hanging out of an attic window) then you stand a good chance of hearing something.

Its also important to get the winding count right. Really thin wire is needed on an air core (what is usually useD)