Update (2012-09-15): I have made a working prototype of an electrified bit gag out of a shock collar and some conductive copper tape. After having it used on me, I can vouch for its effectiveness as a training tool.
I was wearing a jointed bit gag a couple days ago when my tongue piercing (a simple barbell) got momentarily caught in the joints of the bit. At that moment I wondered what it would feel like to be shocked by an electrified bit. For the jointed mouthpiece bit, the joint that rests on the tongue would be one electrical contact. The bit I was using had a rubber coating where my teeth rested, so I would be able to avoid having any current running through my teeth (that does not seem pleasant). The other electrical contact could be attached to a cheekpiece.
When I considered this idea in more detail, I realized an electrified bit might actually be somewhat difficult to build: the entire bit would end up being electrified (including the cheekpieces), and thus it might deliver shocks all over the face and/or the shocks to the mouth/tongue might not be as potent. This is definitely something I want to build (and am currently working engineering an effective and aesthetically pleasing (i.e. looks like a normal bit) electrified bit).
However, I wanted immediate satisfaction, so I decided to try out an eletrified penis gag, which was easily made from an electrified dildo and a leather open-mouth gag. The electrified dildo I used had one electrode near the "head" and another electrode only about 1 inch or so away from the head. This meant that both electrodes were resting on my tongue.
As it turned out, the sensation was even more intense than I had imagined. It became actively unpleasant at relatively low power settings. Since I was trying this out on myself (i.e. I was not restrained and being shocked by my trainer), I didn't end up running the power level very high, and I only administered very short shocks.
This was just a quick test to see if a dedicated electrified gag (specifically bit gag) would be worth constructing. The answer, to me at least, is a definite yes. I can't find any places the sell electrified gags (probably there is a good reason for this), but I have to believe that I am not the only one interested by the concept of an electrified gag (which is why I'm writing this down) so I will add more updates as I gain experience with making and using various electrified gags.
The makeshift electrified penis gag I made could be easily pushed out by my tongue, even during active shocking so my next step is to modify an actualy penis gag to have electrodes. At the same time I will make an electrified ball gag. As I envision it now, the ball of the gag will be one electrode and the second electrode will be attached to both sides of the strap immediately next to the ball. I will add an update once I construct either the electrified ball gag or bit gag.
I'm still making up a design for an effective electrified bit gag, but I'll also try and post a schematic for the design of the electrified bit gag shortly. Right now, I'm thinking the best candidate would be a bit with a tongue port, but a simple big gag with electrodes on either side of the bit (where the sides of the mouth come into contact with the bit) would also work and might actually provide a better effect.