The internal electrical resistance of your tissues is a lot lower than the resistance provided by your skin. If you puncture your skin with electrodes a 9V battery can generate enough current to stop your heart.
There's a link to the darwinawards site on the subreddit. Apparently it was a Navy service member that stuck the electrodes into his fingers and the current traveled through the bloodstream across his heart.
Sounds like an urban legend, but if you read the back and forth on it, it's rather interesting.
I believe you have to provide a path that would go through the heart. Simply piercing the same finger with both electrodes shouldn't do much to the heart.