I haven't seemed to have to much issue using the stun rods so far. i have yet to not stun an alien in 2 stuns or less. granted i am on easy setting since I just started playing.
Once I got to the bunker map a new use for the stun rods came apparent. I had Civs blocking my path into the interior base and after 2 rounds of waiting they wouldn't move. I moved up one of my 2 capture troops. (stun rod / laser pistol w/ gas grenades) up and simply stunned them. This allowed my troops to step right over them and continue the advance. Since there were 2, now prone and senseless, noncoms laying there I left a troop behind to guard them and continued on. At mission end they were still stunned, or at least prone, some 5-6 round later and counted among the "saved" column.
I have thought seriously about stuning more civs just to keep them from blindly running toward the firing aliens as this seems to be the prime tactic they use.
IE> I find a somewhat sheltered Civ in a building toward the rear. Stun him and he's atleast out of my hair for a few rounds. I tend to advance fairly fast (no RF or single) until I run into massed resistance so there should be little danger of any sneaky aliens getting to them before I have cleared the area.
As a side note.
How many of you continue to use stun rods after you have a good supply of gas grenades?
I know the gas grenades have the nasty side effect of hurting or killing injured humans in the area so I have kept my 2 capture equipped troops using (Stun rod / laser pistol) for the moment.