Interfacing Lego Mindstorm with ultrasonic transducers and actuators
The "buzz word" (pun noted :-) ) is "Haptics" - tactile sensory feedback. 

Shock relies on skin resistance which can vary with skin condition, atmospehrics and sweat. It also relies on the degree of user sensation, which can vary widely. It also tends to have positive feedback when conduction starts due to sweat generation and user reaction/grip/contact resistance changes. . 

You would probably get a better and more easily achieved result by using  a vibrating motor which is specifically designed to provide haptic feedback  - these are small motors with an offset centre-of-gravity bob weight that produces a "buzzing" sensation when the motor runs. Vibration level can be varied from insistently frenetic to the barest of tactical murmurs. These are used in eg cellphones for the vibrate function. They are available in many scrapped cellphones and can be bought new from Digikey and no doubt various other suppliers.

The motor uses relatively little power, can be speed controlled by varying voltage (or PWMing DC) and are made for exactly the sort of thing you are attempting.

These are available new from Digikey but there are many other sources.