The opening scene with the taser doesn't depict the behavior of electricity accurately at all. Dean fires the taser, electrocutes the demon, and the electricity passes through the water and shocks him as well. Electricity always takes the path of least resistance, in this case, the demon's body. Even if some of it did go through the water (which would not be anywhere near enough current to electrocute a person, because fresh water is not particularly conductive), it would just go out one leg and into the other. The last thing it would do would be enter Dean's body. Not to mention that there wouldn't be any sparking either.
At the beginning of the episode Dean says he amped the taser up to 100,000 volts. A police issue taser (the highest available voltage) is only 50,000 volts and will not kill you. There isn't really any way to give a taser more voltage, and the tasers did not look altered.
The basement in the first scene and the basement where Sue Anne conducts her rituals are clearly the same set.
Sam's motel room is clearly a set on a soundstage. When Dean arrives and Sam opens the door, the production has very strangely placed a vending machine directly outside his door and some smoke for nighttime atmosphere. However, the windows in the room have sunlight streaming through them for the rest of the scene.