I need that my users get a little electric shock when touched a part of the device, but with no pain.
How can I make it with arduino? How can I energize a metal piece?
Need I an external power socket?
Must I use AC or DC?
How can I control the power of this shock? To my users don't get pain, only a tact feel? 
sorry if my english is bad
ovidiojf:
I need that my users get a little electric shock when touched a part of the device, but with no pain.
Define "users".
Is it people you like, or ... (eg.) something to keep the Jehova's Witnesses from knocking on your door?
I charged some capacitors up to 7000 volts the other day and managed to touch one (duh!) They're quite shocking...
For a "tact feel", A/C is probably best. DC makes sparks when you approach but once you're actually touching it you don't feel much (unless it's enough volts to hurt/kill you).
Users = people that I like. (and Jehova's Witnesses too XD XD)
I need alternate a little metal piece in energized and don't energized. I think to coltroler that with my arduino, like a led.
How can I control this energization? With the arduino pins?
The thing that always concerns me is that one of your victims might have an unknown heart condition or a pacemaker, or otherwise you gadget might fail and deliver more current than you intended...
OK - You don't need an Arduino. From what you've told us, there is no need for something that has to be programmed with software.
The idea is to generate high voltage at limited (safe) current.
[u]Ohm's Law[/u] defines the relationship between voltage, resistance, and current. You need high-enough voltage to generate enough current to feel, but you need to make sure that if the resistance is low (with damp skin or a short path, etc.) the voltage will drop to keep the current safely low. A series resistor is one way to do that.
I don't know about AC vs. DC. I've had nasty shocks from both but I've never done any scientific experiments. Keep in mind that the AC peak is about 1.4 times RMS, so 120VAC has a peak around 160V. So, 120VAC probably feels worse (as is more dangerous) than 120VDC.
In order to generate high voltage from a battery, you need an inductor (coil) or a transformer. Basically, and inductor "tries" to hold constant current... If you connect a battery to a coil, current will start flowing. If you suddenly disconnect the coil, with your (high resistance) body in the current path, you will get a voltage spike (Ohm's Law) as the magnetic field collapses and the coil tries to keep "pushing" the same current. This is the same principal that generates high voltage for a spark-plug from a 12V battery.
That's about all I want to say. I'm sure you can find schematics/plans on the Net, or maybe osmeone else will give you a link.
DVDdoug:
OK - You don't need an Arduino. From what you've told us, there is no need for something that has to be programmed with software.
I'm not sure. I get the idea that he wants to be able to switch it on/off so that he can touch it but nobody else can (or something like that). It would be good if people would tell us what they're actually trying to achieve (just one time!)
Plus, an Arduino might be useful in converting a battery output into a square wave for input to a transformer.
DVDdoug:
The idea is to generate high voltage at limited (safe) current.
Yep. See the video I posted earlier...
The idea is that the user get a feel tact, like a vibration, with a very small voltage, and I want to control this to on/off, using the pins of arduino, like a led turn in on/off.
It will be hard to get exactly what you want.
The effect will not have the same "feel" for everyone, and not even for one "Guinea pig" on different days.
And a real Guinea pig doesn't even wear different clothes every day.
The below shock pens would be easy/cheap way to develop a "harmless" shock. when I was young a local pharmacist had a "joke box" that he would hand to unsuspecting persons. He would hand the person the box and when the person gripped the box he would push a microswitch on the bottom of his side. The box was wrapped with top/bottom wires under the wrapping on the person side connected to a battery/T-model coil inside of the box. Can't do that today.
Just be aware that there are people (like me) who are likely to respond to receiving an intentional shock with a swinging fist...