Extended list of materials and tips:
- A battery (we found that those with protruding terminals such as the 4.5 V 3R12 battery was easier to handle)
- Electrical wire (thinner is better to increase the number of windings)
- An iron screw (make sure it is attracted to a magnet but does not stay magnetized)
- Electrical tape
- Paper clips
Do not forget to open the electrical circuit once you have experimented with your electromagnet as failing to do so will drain the battery quickly and heat up the electrical wire, which could be a fire hazard.
Delving a little deeper into the physics:
You may have made an electromagnet at some point in your life by winding an electric wire and connecting it to a battery. But have you ever wondered about why your electromagnet is stronger when the electric wire is wound around certain materials and not others? Deep down, an electromagnet works because the electric current in the wire creates a magnetic field; the larger the intensity of the current or the number of coils, the larger the magnetic field – see our course video for more. 
And that's all there is to it if the wire is wound around a material made of plastic, wood, or just in air... so, for most materials, really! But there's more to it if it is wound around a ferromagnetic material such as iron. To know more about ferromagnetism and permanent magnets, see this other course video! 
At the microscopic level, iron is divided into ferromagnetic domains, each of them having a magnetic moment pointing in a random direction. These disordered magnetic moments average out to zero, and at our scale, iron does not create its own magnetic field. But in the presence of the external magnetic field from the wire, the magnetic moments in the iron align and add up, creating a magnetic field we can perceive at our level. The larger the intensity of the current, the larger the magnetic field created by the wire, but also the more ferromagnetic domains align, and so the larger the magnetic field from the iron core. Hence, the total magnetic field of an electromagnet usually is the sum of two contributions: the magnetism of the wire and of the iron. So, having an iron core contributes to a stronger electromagnet, through a different mechanism! At CERN, all of our electromagnets, especially the ones that are not superconducting, include a lot of iron in their design. 
Links for further information :
-  CERN-Solvay Education Programme, Electromagnetic Adventures #2: Currents 🔁 Magnets, YouTube (2023).
-  CERN-Solvay Education Programme, Electromagnetic Adventures #3: Permanent magnets... in space!, YouTube (2023).
-  Gijs de Rijk, Warm magnets, Proceedings of the CERN Accelerator School (2021). University-level course on non-superconducting magnets and the role iron plays in them.