Strange that this should come up; I was just commenting on something about this on the Arduino forums. Anyhoo...
About 6 months back Electronic Goldmine was selling booster caps (in fact, right now they're having another sale on similar ones); as an experiment, they ended up charging a few up, hooking them together, and seeing what they could do with them. They made some youtube videos as I recall; in one of them, they showed how they welded some small bits of steel together with an arc they produced. So...
I though maybe you could build such a small arc welder, but use a tungsten tip - and you might even have to introduce argon into the mix as shield gas; basically a very tiny MIG/TIG welder (?) - put the caps in a box or something to keep safe in case something blows (and/or add some kind of "fuse" or something to trip in case of a shorting of the tip?).
In their demos they said that even after doing their experiments and such several times, the caps had plenty of voltage/current capacity left (they were also saying you should make sure to drain them fully, because they could give you a helluva jolt otherwise if you didn't).
Thought it was an interesting idea to try, even if it didn't work, as sometimes you do want to do small scale welding on material too thin for larger welding processes (your only other real choices would be to solder or braze the material - or epoxy).