This is only for DS Pokemon games other then Ranger and Mystery Dungeon. It is held by a wild Pickachu. If you breed a Pickachu with a Light Ball, you will have a Pichu knowing volt tackle. This is an awesome move. Here's how you get it in each game.
Diamond, Pearl, and Platinum:
Go to the Pokemon Mansion and look for wild Pickachus. Some of Pickachus will hold Light Balls.
Soul Silver and Heart Gold:
Catch a wild Pickachu in Virdian Forest. There is a 5% chance to catch a Pickachu with a Light Ball, so get a Pokemon that has the abilty to see a Pokemon's item. Some Bannetes have this ability. Good luck on your Adventure!
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The only way to obtain a Light Ball is by going into Trophy Garden and encountering Pikachu. (They may hold a Light Ball) If one of your Pokemon knows Thief or Covet, you can take the Light Ball from Pikachu. There's only a 5% chance that a wild Pikachu will hold a Light Ball so it my take a few tries.
A red ball
For this you need 1 Pokemon that knows thief, 1 random Pokemon to hold a master ball, and a ditto. have ditto and the Pokemon holding the master ball go into a double battle. make ditto change into the Pokemon with the master ball. now switch that Pokemon with the Pokemon that knows thief. have that Pokemon use thief on ditto and win the battle and viola! you now have 2 master balls!
You need to catch a Pikachu in the Viridian Forest holding one. Pikachu rarely hold this item, though, so you'll have to catch a lot! You can also receive a Pokemon from trade holding one.
go to the elite four, battle Lorelei and use thief on her Lapras and it will be holding it.