This simple project shows how you can make your Arduino into an AM-band transmitter.
Wiring: Plug a wire into pin D9.

Sketch:
const byte ANTENNA = 9;
void setup()
{
// set up Timer 1
TCCR1A = _BV (COM1A0); // toggle OC1A on Compare Match
TCCR1B = _BV(WGM12) | _BV(CS10); // CTC, no prescaler
OCR1A = 9; // compare A register value to 10 (zero relative)
} // end of setup
void loop()
{
pinMode (ANTENNA, OUTPUT);
delay (500);
pinMode (ANTENNA, INPUT);
delay (300);
} // end of loop
Theory: The 16 MHz clock is divided by 10 (that is, 1.6 MHz) and that is used to toggle pin 9 at that rate, giving a frequency of 800 KHz, since one toggle turns the output on, and second toggle turns it off.
If you hold the Arduino near an AM radio tuned to around 800 KHz you should hear a hissing toggling on and off (like Morse code) as the carrier is turned on and off for 0.5 / 0.3 second intervals.