Generating high voltage is not a problem with low current.
For example take the electric lighter who produce a really high voltage to create a spark that will fire the gas. When things start to be complicated it's when you start to get a load that drain more current. These devices draws only few µA and should, without that they could be really dangerous (for you and your opponent).
But even like that they could create some severe damage. So \$I = V/R\$. Let's take a body resistance of 10K.
\$ 2 000 000 / 10 000 = 200A\$
But it's totally theorical as the device can't produce 200A. (You'll get out of battery or get your hand on fire before :p) But you don't need 200A to knock out someone. Take a look at the table here to figure out what can happen.
For the technical side it's basicaly a bunch of high voltage capatacitors.
Here's an example for a lighter :
