Pirate radio can be a lot of fun. It all depends on what you want to do though. If you'd like to broadcast to your immediate community you'll want to look into an FM broadcast band transmitter. There are a variety of kits and pre-fab models from companies like:
Ramsey
Veronica
Progressive Concepts
Probably the most overlooked and most important part of the transmitting system is the antenna. The benefit of the FM broadcast band is that it is a spectrum of relatively high frequencies which equates to shorter antennas (much shorter than AM broadcast band antennas, for example). You also typically want a vertically polarized signal which means an upright antenna rather than one stretched parallel to the ground length-wise. Two common types are the 1/2 wave dipole and the 5/8 wave antenna. Doing a Google search will bring up many links on how to construct your own for a specific frequency. There are pre-built ones like the
Comet 5/8 wave as well.
If you have a more esoteric inkling you might want to consider shortwave pirate radio. It's what I'm mostly interested in but it may be more work and/or money then you're interested in expending. The nature of shortwave frequencies, depending on the time of day and solar activity, is that they can reach the ionosphere and be refracted back down to earth one or many times. This means you can potentially be heard across the world. However, you do lose a certain amount of audio quality compared to the FM broadcast band, especially if you're transmitting in Single Sideband Mode as opposed to AM.
As you would expect, the antennas are also considerably larger. The good thing is that a 1/2 wave dipole is pretty easy to make, you just need to accomodate for its size. The most popular shortwave frequency for US pirates is 6955 KHz which falls in the 41 meter band. Dipoles in this range are about 67 ft. long, so if you have any restrictions on antennas where you live you're going to have to do remote transmissions.
Another tricky thing to consider is a transmitter. You'll probably want to use a solid state HF amateur radio transceiver. Ebay or local "Ham fests" are a good place to look for used rigs. When you finally have one, you also need to make an interconnect between your audio source and the mic jack on the transmitter.
I've left out tons of information for the sake of brevity but you can PM if you want more details. The
Free Radio Network is my favorite source for information because of the message boards that have many veteran pirates posting. There are also logs of shortwave pirate activity to give you an idea of where to tune to if you're interested in hearing others (some of which have amazing production value and original content).