Stun gun bans remain in effect, to my knowledge, in Hawaii, Massachusetts, New York, Rhode Island, Philadelphia, Wilmington (the largest city in Delaware) and smaller towns. The Massachusetts and New York laws are being challenged in court. Stun guns are also heavily regulated (e.g., with total bans on carrying in most places outside the home) in some other places. For more, see this article, though the listing of restrictions in Appendix II is now out-of-date.
Disclosure: I’ve consulted a very little bit, through the Firearms Policy Coalition, on some of the stun gun litigation, and I’m also involved pro bono in some such litigation through the Center for Individual Rights.