Although I generally never say 'never' - you won't get 500kV out of a transformer without some serious insulation. The output voltage claimed by stungun manufacturers are misleading for the purposes of advertising to those who don't know/care about how they work (consumers don't need to know at all). The maximum output voltage is determined by the sparkgap length and conditions of the air/medium in that gap. Since the output of a transformer driven by a capacitor discharge is essentially a current source, it's voltage will to whatever voltage is necessary to make current flow - often the breakdown voltage in the insulations of windings.
If you have a 1mm air gap, a stungun rated at '250kV' won't output 250kV, but most likely in the order of 2kV.
Also, stunguns are rather crude devices with manufacturers making claims about 'tetanisation' or how long it will keep an attacker of a certain weight on the floor. Whilst there are certainly devices specifically for creating tetanisation, it is impossible for the manufacturers to know the circumstances in which devices will be used, and so, their claims cannot be proved/disproved. What may 'sting' a bit for someone, can quite easily kill another, and visa versa.
I've been unfortunate to conduct mains on a couple of occassions, as well as brush my hand across the terminals of a 800uF cap charged to 420V and whilst the fact I'm still here means I could say 'naa its not that dangerous', others have been killed from far less - not to mention the secondary effects.
The way I see it with so many 'wanna build a stungun' posts on the web is, if you truely want to build one, then you have the tenacity to take the time and effort to reseach the electrical, and electronic engineering to work things out for yourself. I think the OP can understand why so many are guarded, given the (il)legality and dangers.