Here are some interesting lecture demonstrations on adiabatic thermodynamic processes you can carry out. In an adiabatic process, there is no heat transfer between the system and other systems (including its environment.) According to the First Law of Thermodynamics ($$\Delta U=Q+W$$), where Q = 0, a compression of a gas which is associated with work being done on the gas will cause the internal energy and hence, the temperature of the gas to rise. On the other hand, when an expansion of a gas takes place, the gas will cool down.
1. Adiabatic compression using a fire syringe
(available from Funlearners for $30 in Singapore)