Lothar: Yes, as long as there's contact to conduct electricity, they'll work through clothes.
SoM: That stun gun will most likely hurt. It might hurt like hell. Tasers and other high-dollar brands actually disrupt nervous impulses to the muscular system using electrical current. Think full-body cramp. That said, your stun gun will probably be "okay" unless you're being attacked by someone with a high pain tolerance. Same logic applies to pepper spray, some people can handle it better than others. I hated having to use that crap at work, because inevitably, you wind up catching a decent bit of it yourself. Your mileage may vary.
