I made sure to carry the owners manual for the TENS unit, which has a picture on the front of it, as well as a description for the unit. This helped verify to TSA that it is medical equipment. I also made sure to package it carefully (wrap the cords and such) so it didn't just look like a mess of electric wires. I also travelled with a power chair battery charger, so I knew my bags were going to be searched!
At the parks, no one has ever asked. If you keep it on your person (like on your belt - mine comes with a belt clip) they won't even know it is there! And if you tell them it is a medical device, you should be fine.