Happy New Year to you too
Dog collars are supposed to be pretty "safe", but given they are made by no-name companies in China I'm not sure how much I would trust that assumption
They also work using static electricity, but as Sebastian mentioned about the cattle prod, these devices are designed to pass the shock through fur and thicker skin than we humans have - so you have to be careful about the power setting.
Here are some YouTube clips of young people who are shocking themselves with these devices. There are plenty of other clips on the same subject. The difference between these reactions and an S&M scene is that it will be your job as the Dom to "charge up" your sub with sexual anticipation, and that will help her get through higher levels of pain.
http://www.youtube.com/watch?v=GgFS4SMe0SY
The other thing about shock collars is to decide where it would be attached on the sub. Men have a very convenient "attachment point" around the scrotum, which is how you'll see this type of device used in hundreds of FemDom movies. But again, I would caution that if a shock collar is going to be used around a person's genitals you need to make sure you really understand the power levels, and also that the device will stay at a consistent power level during the scene.
For women I guess it's not as straightforward where to put these things, and that's why I tend to use the Tazapper.
In terms of the pain level from the Tazapper, there is no adjustment. It's one-level only, and I would describe the pain level as "challenging". Compared to impact pain it leaves no marks, and the "tingle" fades pretty quickly, so the device can be used repeatedly without physical damage.
With the Tazapper, instead of adjusting the power of the zap, you change the location of the zap. So start on some thick-skinned areas (eg. the heels of the feet), or on the ass. Move to more sensitive areas like the soles of the feet, or the ribcage.
Nipples and genitals are obviously at the most sensitive end, but the tongue and the ear lobes are also more sensitive areas.
To make it scarier for the sub, she can be blindfolded so she cannot see where the next zap is going to land.
These kinds of sessions can be pretty intense, and suit the "interrogation" roleplay format. You have to have good communication and make sure your sub will use her safeword if things get too much.
Here are some videos of the Tazapper being used on "ordinary people". In this first one you'll see people get zapped in a variety of places.
http://www.youtube.com/watch?v=ngxoFcKBUrQ
This one shows the Tazapper being used on the lower leg area repeatedly without leaving any marks.
http://www.youtube.com/watch?v=4O50hgv45ok
Cheers,
Stanley