Take a "Master" lock and attach a sign to it that says "Eternal Life". The only way to get the "Eternal Life" is if you unlock the lock.
I have several keys that I can give to a class member and let him/her take one and pass the rest to the person beside them. That person takes one and passes the rest until they are all passed out.
Then discuss how the keys of the priesthood are passed from one individual to another worthy individual. Once the keys are passed ask a person without a key to unlock the lock to gain eternal life. He/She will not be able to because he/she doesn't have a key. Ask another person who has an incorrect key to unlock the lock to gain eternal life. He/She will not be able to because he/she doesn't have the right key.
Then give the lock to the person that has the correct key.
Then discuss how some may say they have the power to gain eternal life, but are unable to do so because they don't have the authority -- priesthood -- given by God.