SpudFiles

The anode goes to the positive end, the cathode to the negative end of the spark gap (you can measure this with a multimeter, or see which end is connected to which pole on the main capacitor).
The trigger is operated by either applying a small voltage between the trigger and cathode, or connecting the trigger to the anode through a resistor of 100-500k (depending on the exact voltage and SCR specs).

When my batteries are going dead, my stun gun won't fire as fast. Maybe if you increased the voltage going in a little bit, it would make it fire faster.
You would have to check for a voltage regulator being inline though, and possibly bypass that, or this would be futile. With the higher wattage, you may have to put in thicker wires and add a fuse inline to protect the circuitry from getting fried.

Otherwise, I believe there is a capacitor prior to the first coil, and if that was allowed to charge, and then connected, you could control the spark better. Electricity travels near the speed of light. And that is as close as you can get to controlling the spark itself without the spark jumping the gap in a switch, or corroding the contacts too horribly.

I found this picture/schematic that I can understand:

http://www.coilgun.info/mark4/scr_wiring.htm

I'm assuming this is correct. I may not get a "stud" type, but it's labeled with the schematic language as well. I may have to test this and see what happens. I'll get an SCR, and rig it up to my existing stun-gun and see how it works. What kind of voltage should I expect from the trigger spark gap capacitor? Could I insulate/block the spark gap and then measure the voltage across the cap? I'm guessing it wouldn't be any more than a few hundred volts... Thanks for the help so far everyone.

The cap will have a voltage rating, I'd guess less than 400V. The actual voltage should be somewhat lower.
You can block the gap with a piece of plastic.

There is a possibility that the charging circuit is not limited to the rated voltage of the cap, but instead relies on the spark gap doing its job and dumping the voltage before it gets too high. Check with a volt meter if the votage across the caps rises above their rating. If that is the case, the simplest way to limit the voltage is to get a few neon indicator lamps and conect them in series with a resistor across the cap. Each lamp will drop about 80 volts depending on design.