A real stun gun often uses a two step approach:

2 capacitors charged to something like 2kV. Each one has it's own rectifier diode to decouple them. One is connected to the output terminals in series with the secondary of a step up transformer, similar to the ignition transformer for arc lights (HID, xenon, high pressure sodium vapor, argon laser tube). The second cap is connected to the primary of said transformer in series with a spark gap.

When the caps reach their target voltage the spark gap fires and the cap discharges into the transformer. This induces a HV pulse of several 10kV at the output. This short pulse ionizes the air between the electrodes (or to an external target) and strikes the arc. Then the other cap discharges through the transformer secondary between the electrodes or into the target.

The reason for this more complicated system is, that you only need a very short pulse of very high voltage to strike the arc, but then you want to dump some current/charge into the target and not only deliver the equivalent to an ESD event.

and thanks for the tip ;-);-);-) 

I do my best next time 

This is not a stun gun and the components are of low quality anyway. Ultrafire batteries are some of the worst available, they are also grossly overspec'd. The reason you don't get 5Ah or even 9,9Ah 18650 from name brand manufactures is just because these capacities are impossible with current technology.

The HV generator is sometimes also advertised as 400kV - which would give you a spark length of at least 20cm. In reality this think makes something like 20kV. Probabl<y still more than the insulation of the HV wires can take in the long run.

"USE IT CAREFULLY AND WISHLY" - especially "wishly", you have to wish that you had a real stun gun :-) :-)