Eavesdropping from a distance can be tricky because it usually requires some sort of bug or transmitter. It's easy to transmit audio through lasers, but you can also use lasers to build a microphone that picks up audio from a distance.
LucidScience built the Laser Spy System for about $20. To make your own, you'll need a cheap laser pointer, an NPN phototransistor, a headphone amp, and a few other small pieces listed below.
A light-to-sound circuit is installed in a small plastic box with the power switch, volume control, headphone jack, battery, and the phototransistor. The finished receiver is mounted to a tripod.
It's pretty easy to get the laser to hit the right spot in a small room...
But it proves more difficult, but still possible, when the distance is further and you have windows to pass through.
You can find schematics, photos, and a very detailed step-by-step guide on how to build and use the microphone over on LucidScience.