It's really a shame that nobody had access to the "attacker" immediately after this demonstration because, with apologies to Mr. Randi, a stun gun DOES leave a mark on the body.
When I was in 9th grade the local police came to the school and gave a demonstration/talk to one of our classes. As part of this demonstration, they had about 10 kids hold hands in a circle, with two folks touching the electrodes of a stun gun (one on either side of a break in the circle, natch). The officer then tripped the switch for just a second, and the 50,000 (or so) volts went all the way around the circle and shocked everyone just enough for them to feel it. After the demonstration, I asked the officer if I could hit myself in the arm with it to see what it felt like, and he let me pop my arm a couple of times (while looking at me funny, I might add.) After doing this, there were four small red spots on my arm (one per electrode, two hits) that faded over the course of the day. I can't remember how long they lasted, but I know they were still there at the end of the day. I seem to remember something about "blood rushing away from the site of direct contact and then rushing back" as an explanation, but it's been a lot of years.
Now, these marks were not BRIGHT red, but were very visible. It's shame that nobody checked over the attacker for such marks. I imagine they might be more visible if you were shocked long enough to drop you, but I dunno.
Edited to add...
http://www.google.ca/search?q=stun+gun,+marks&ie=UTF-8&oe=UTF-8&hl=en&meta=
Apparently there's a lot of talk about some marks on JonBenet Ramsey's body being made with a stun gun, so there is a surprising amount of information out there. One of those links includes a photo from her autopsy showing the marks. The marks on my skin looked more faint, but (and I don't know how to put this in a non-grisly manner) my skin wasn't deathly pale.