MAKE MICRO TRANSMITTERS
It's pretty hard to believe that these generic micro transmitter (bug) circuits give such high quality reception on a standard FM radio. Fundamentally they are nothing more than high frequency oscillators with their frequency modulated by a microphone. The concept is simple enough and it works well because the FM radio you use to monitor them does the hard bit.
The three circuits shown below are typical of the generic designs of micro transmitters. The components are easy to get and their output is relatively low which means that you are less likely to annoy your neighbours by jamming their radios.
Of course, using these devices is illegal in the UK since they breach the privacy act and are also unlicensed transmitters. As such, discretion should be used if you experiment with these designs.

This first circuit is the simplest type of transmitter. It uses the microphone to directly modulate the transmission frequency, and is fairly insensitive. Cheap toy radio microphones use a circuit like this.
An even simpler design uses a fixed capacitor for C2 and relies on squishing the coil together or pulling it apart to change the frequency. If the circuit doesn't perform then it may be transmitting in a frequency range outwith your tuning equipment. Depending on your choice of transistor you may have to adjust R1 to balance the bias. 

This is the standard type of transmitter that is available in a huge variety of styles from various kit vendors. It works very well. Adjusting the value of R2 will set the microphone gain while R4 may need adjusted to match the transistor used in the oscillator. 

This is a slight variant on the standard design that uses a biased transistor as an amplifier giving it good sensitivity. 

TESTING AND TUNING 
A standard FM radio with a frequency range of 88 to 108 MHz is ideal for these low range transmitters. To check the transmitter tune the radio to a quiet spot and place it at the other side of the room. When you power up the transmitter you may hear a pop from the radio as the oscillator sweeps up to speed. Slowly turn the tuning capacitor with a non metal implement and listen for a feedback sound or a sudden quieting of the radio.
Once the frequency has been set the signal can be tuned in finely by the receiving radio. Beware of tuning into a harmonic of the original frequency since this can give the impression of weak reception.
All of these transmitters require a piece of wire as an antenna for maximum range. The length of the wire is supposed to be a fraction or multiple of the wavelength being transmitted, but in general you can use a 12" piece of wire. This is a bit of a bummer, since the whole fun of scrunching these designs down into truly James Bond proportions is rendered worthless when you add a one foot (300mm) long antenna and a whopping great big battery pack.