For diodes, you might try BY8418 which in the UK is part 663-815 from Farnell, and costs less than a can of Coke, rated at 18kV. While you're at it they sell 15kV capacitors but these cost more, or you could make your own capacitors from foil and plastic sheets if you prefer.
From what I remember the lighters have a little spring loaded hammer which must produce pretty large forces on the piezo material.
Chris