You could try breaking their neck, this is tricky, and unless you are careful can go wrong. To do this you pin their head down with a spoon or a stick or something that will keep it from moving, then you quickly pull up on their tail to break their neck. Another way, that I have never tried, is to use CO2. You just need a tall bucket, trash can, or any other tall container and a bottle of CO2. You charge the bucket with the CO2, (because CO2 is heavier than air, it'll stay in the bottom of the bucket), then you drop the rat in. It'll go unconsious immediately, and die a short time later.