Lightning damage has no armor penetration, but has its uses. Warriors have a bonus 20/10 armor against physical attacks depending on their armor, so using a bow with a shocking mod will bypass that bonus armor against physical. However, there are some characters that actually have bonus armor against lightning. Rangers have a bonus 30 armor against elemental attacks, and elementalists can also choose an armor type that adds an additional 15 armor against lightning.
You may be thinking of skills, rather than weapons that do lightning damage. There are some elemental air (lightning) skills that have armor penetration.
all air dmg spells except whirlwind and lightning surge have 25% armour pen (might have missed one or two). However as prieviously stated, it will deal more dmg vs warriors (which is why one of graygore's bows deals it), however, it will not be effected by orders or work with nec hexes that do something when target takes physical dmg, and rangers are actually stronger to it than they would be with say, vampiric.
One bonus is you can use conjure lightning to add extra dmg to it, but orders are better