Lightning guns. Impractical, but possible.
The taser idea is the easiest. Nice, simple, aimable and non-lossy for getting a heap of electricity to your target.
Your could also do a tesla coil in many different ways. The problem being that arcing through air requires a hell of a lot of voltage, and you'd really want to make sure it grounds to them and not you (or other random stuff).
You could also just do it as a multi-stage transformer run off a light engine, but size and weight comes into play. As well as the heat dispersal required to stop you from cooking the working bits. You can get a surprising amount of energy out of a small RC car nitrous engine though (2kW+ for a 500gram engine), even with lossy conversion and voltage transformation.
A piezoelectric approach could also be done. You'd need large piezos and you'd have to hit them pretty hard, but that's not really a problem. Cordite could do the "hitting" easily enough, converting explosive shock to high voltage electricity, but the piezos would degrade pretty quickly I think. You could also just run it off a small nitrous engine, set up like 5000 really big electric lighter starters all wired together, for a low tech approach. Again, it will arc to you or other stuff that you don't want it to.
There's also the pseudo-EMP style approach, just reversed, where instead of an explosion deforming a charged coil to produce an EMP effect, it deforms it to do a voltage step up. The initial electricity could be stored in capacitors inside the bullet shells, with an explosive impact-fuzed charge for coil deformation, or as a piezo-tipped bullet, with the shock of deceleration on the piezo providing high voltages. It'd be fiddly as hell to make, but it'd only arc to whatever it hits (in theory) and has the advantage of having kinetic impact and electricity doing "stuff" to the target. You could probably fit all that junk in a 20mm bullet.
There's a few other potential esoteric types available (electrolasers, directed microwave and pulsed plasma coming to mind), but they're way beyond my ken. Sort of.
With the levels of power you're looking at, why not just a rail gun or a plasma launcher? Or a laser? Even high temperature incendiaries are essentially explosive plasma if you use the right mix, so pulse an electric charge through that on impact as described above. Then you get pretty lighting effects, kinetic power, stickyness to grounded targets, heat, and a low level EMP pulse. Plus, they're doable with relatively available tech.
A mix of thermite, magnesium powder and high grade silicon powder all mixed and bonded in a shell, with a good electrical shock to get the thermite going and the silicon into plasma form on impact might work. It may be worthwhile just adding piezo crystals to the explosive or incendiary mix, hopefully explosive shock=>heat losses for sparkies. It probably does need a solid electrical boost though. Between that and an impact fuzed explosive (ala Raufoss rounds), you'd probably get something nicely charged and hot, with a bit of arcing on the target due to plasma coils ending up in weird configurations on explosive impact. Piezos in the round, or capacitor discharge, for more "lightningny" style effects (that would probably just move the plasma around into funny shapes for a brief instant) if you want. But there will be plasma, just doing stuff, and magnesium thermite (possibly alongside a penetrator as well)..... It might work. Maybe. Would look pretty anyway.
Like this:
https://www.youtube.com/watch?v=Y72nrlNnXAkadded to this:
https://m.youtube.com/watch?v=XjTsRju6W-Ywith a bit of extra electricity on impact for dispersal and arcing.