So, if anyone is curious, this is what appears to be a standard Taser projectile:

Unpleasant looking, eh? Especially with that nice little fishhook barb on the end. Probably the same deal if you get one stuck in you, too: either push it in and then pull it out gingerly, or go to the ER and have them make a small incision with a scalpel to remove it.
But there's a silver lining in this cloud: notice that it's all one piece of metal, top to bottom. It's not insulated such that only the tip is exposed. This means that even if two of the barbs are stuck in your body, a short between the two barbs anywhere on their surface will render the voltage useless. It won't affect you, and you won't feel it. Remember kids: voltage takes the path of least resistance.
Now, if the body of the taser barb WAS insulated, and only the tip was exposed, it'd be a different story. It could pass through a wad of conductive material without shorting, and once it stuck into your meat, if only the tip was conductive then the volts would make it into your body.
So, here's my cheap & easy anti-taser idea: quilted material/clothing made by sandwiching fine steel wool between two layers of material. Ideally the first layer would be something thick and tough, like neoprene or leather. This would force some small stand-off distance between the taser barb and your skin, and hold the barb in place so that it can remain short circuited.
But enough words, a picture is worth a thousand of them:




Now if I could only find a taser and some poor SOB willing to help me test this :) But that presupposes that I've sewed a garment out of this stuff, and I'm quite certain my wife will not let me use her sewing machine to do this. I suck at hand-stitching too, so I think I'll have to look for a cheap, used sewing machine, and perhaps use a leather/suede needle on it for extra toughness.
I had some other ideas that I'll keep looking into as well. Aluminized (sp?) mylar or metallicized plastic foils might work too.
Another was the use of ferrofluid, and soaking clothing in that. However, I don't know how conductive ferrofluid is, but I do know that it is not commonly available, and probably somewhat expensive. It could very well be just as effective, and cheaper, to soak a thick jacket in very salty water.