There is a reason why TENS units are expensive - these devices are essentially electro-shock machines, with a high enough voltage and current to send the user into cardiac arrest (if used incorrectly):http://en.wikipedia.org/wiki/Transcutaneous_electrical_nerve_stimulationhttp://www.debmar.com/tens/
I would bet the cost is mainly in safety testing, as well as code QA to assure non-malfunctioning of the software (not to mention possible FDA reasons - or whatever your equivalent is for your area).
You are talking of applying upwards of 100 volts at a few 10s of mA to the skin; I would suggest strong caution - if not abandonment - of pursuing this route.
I would instead suggest using small 1cm (or if you can find smaller - go for it) cell-phone vibration motors or similar - example:http://www.allelectronics.com/make-a-store/item/DCM-707/MINI-PANCAKE-VIBRATING-MOTOR/1.html
Much safer - and probably cheaper in the long-run (conductive pads and gels can be messy, and while not super expensive, they are a consumable). Mount the motors to a pair of gloves or other wearable garment that will keep them snug against the skin. Use a transistor to activate them using the Arduino. Bonus: multiple motors can run at one time.