2 or 4 pads are stuck to your skin and apply a w voltage pulsating electrical current. They will produce a tingiling or pins and needles feeling. They are commonly used by physical therapists and chiropractors.
It can be used for.

• Pain - They use it most often to treat muscle, joint, or bone problems that occur with illnesses such as osteoarthritis or fibromyalgia, or for conditions such as low back pain, neck pain, tendinitis, or bursitis.
  Pain is thought to be controlled by TENS in one of two ways:
  - Sensory Level Stimulation - The Gate Control theory of pain means that the electrical input of the TENS machine interferes with the transmission of pain signals, by blocking the neural "gate" through which the pain travels.
  - Motor Level Stimulation - The goal of motor level stimulation is to cause the release of the body's own opiate-like substances to achieve pain relief.
  High frequency low power settings are typically used for pain relief.
• As a training aid in people with knee osteoarthritis.
  See Transcutaneous electrical nerve stimulation for knee osteoarthritis. - PubMed - NCBI
  Lower frequency higher power settings are used.
• I've also seen similar devices, called Electronic Muscle Stimulation (EMS) products, advertised as "Fat Burning Belts".
  See Abdominal Toning Belts & Toning Products | Slendertone.
  At "Problems using EMS muscle stimulators for lose fat weight" | WeightLossForAll.com they quote Dr. Venu Akuthota at The Center for Spine and Sports Rehabilitation Institute, who says "In order for any of these machines to produce real muscle growth, these machines will need to send such powerful pulses that you will not be able to stand the pain they inflicted on you."

Products:
When I went to the expo prior to a half marathon they were selling a small battery powered unit for $150 (Price on their web site was $300).
They were selling a similar unit in the Mall, where the price started at around $200, but they kept throwing in add-ons, 2 for $200, extra pads, ... and finally ended up with a price under $100.

The truMedic TENS Unit $31 seems to be the most popular.

See reviews at Best TENS Units For Sale | Pulse Massagers.com 2014

Other Links:
Best TENS Units For Sale | Pulse Massagers.com
Best Electronic Pulse Massager Reviews for 2015
Omron
Transcutaneous Electrical Nerve Stimulation (TENS) Therapy: Uses and Safety | WebMD
How to Use a Tens Unit to Tone Muscles | LIVESTRONG.COM
Transcutaneous Electrical Nerve Stimulation (TENS) | electrotherapy.org
Transcutaneous electrical nerve stimulation - Wikipedia
Truth About EMS in Bodybuilding - Electronic Muscle Stimulator (EMS)- Also: TENS Units, EMS Units, Nerve and Muscle Stimulation Devices, TENS Unit Electrodes
Best TENS Units For Sale | Pulse Massagers