For proper theremin styleeee action you want something that reacts fast. Its pretty easy to make an optical theremin from one of those horrible plastic keyboards that consist of nothing but an analogue oscillator but you'll probably find that most LDR's react very quickly to extra light but a lot slower to less light, which can be annoying when you put the sensor totally in the dark and it still takes about 3-4 seconds for the pitch to drop all the way.
Anyone know where to get some fast reacting LDR's?