Playing go on a 9x9 board is great for beginners, and also
an interesting challenge for professionals.
See these intricate games from the 2002 Women's 9x9 tournament
in Japan:
http://gobase.org/games/japan/misc/9x9/2002/
More games are at
http://gobase.org/9x9/
and commented games are at
http://gtl.jeudego.org/reviews/of_smallboards
Tengen is the most common opening move: http://gobase.org/gobase/demo/s9/s9.html. See 9x9 Tengen openings at SL.
kaiou: You can use a small chessboard 8x8 to play 9x9 go, using the regular stone, Very handy to teach in unusual places ;)
Phaedrus42: on a chess board I think one should play with checkers stones. They will probably be at hand as many chess boards have a checkers board on the other side.
AcceptableRisk: My first games of Capture Go were on a Chess board with Backgammon pieces (Now there's quite the combo of ancient games.) with a friend of mine after we found some rules on the Internet. I recommend this method highly for beginners.
zefciu: My first games of go were played on a chess board with old coins, I remember, that we played without komi and white was usually winning, so these games had to be strange :)
If you are wondering about 9x9 handicap and komi, see Handicap for smaller board sizes.