Yup, it's true. I saw a version of this in Boston at a pub. It was a two player game, each player would take their shoes off and stand on metal plates then turn cranks that would send electricity into the plates. I guess whoever stays on longest wins.
Also heard a piece on the raido of people being shocked like this in bars in Mexico City and paying (money) for it. The guy they interviewed who says he shocks himself everyday, says it helps his circulation and causes him to relax.
They also had a doctor on saying it is dangerous and could mess with your heart.