There are a number of folks who have home built fairly large (>5 kVA) HV transformers, and generally, they are oil immersed.
You can get moderately large epoxy encapsulated transformers, but they aren't cheap when new. I've seen a 100 kV @ 150 mA unit (That's 15 kVA), but it was physically quite large (say, the size of a 2 drawer file cabinet), and it had some leakage reactance, because it was wound on a big square core, with the primary on one side of the square, and the big epoxy encapsulated donuts on the other. There was also a bunch of electrostatic shields, etc.
I hesitate to even think about what such a thing cost.
However, making your own switching power supply transformers isn't as bad. Small mass, easier insulation, etc.
Created on Thursday, March 15, 2001 12:51 PM EDT by James Lux