Comets are mostly made of frozen water, frozen carbon dioxide, a few other frozen gases like ammonia and methane, dust and rocks, and carbon-rich organic material. In fact, some cometary material contains amino acids, the building blocks of life here on Earth.
While real comets are many miles across and contain complex chemicals, they can still be thought of as dirty snowballs. You can build a model comet from some readily available materials.
Other materials to have on hand:
You should see (and hear) carbon dioxide escaping from the comet at various spots on the surface. This is due to solid carbon dioxide turning directly to a gas, a process called sublimation. (A solid is said to sublimate when it turns directly to a gas.) This behavior is seen on real comets, and these jets of gas can actually push a comet enough to change its orbit around the Sun.
Just as a real comet is warmed when it passes near the Sun, your comet will warm and the carbon dioxide will sublimate. After an hour or more, the comet will become a crater-filled lump of dirty ice. When a real comet passes the Sun many times it can become very fragile and eventually break into many pieces. The rocks and dust left over can hit the Earth's atmosphere and form meteors, also known as shooting stars.
Here are a few links related to comets:
Comets at the
Nine Planets website
SpaceWeather.com has news on comets
visible in the sky
Comet Observation Home Page at JPL