Well, as for screaming guards, it depends. If they all die instantly, then they won't even make a sound. When somebody grabs an electric fence, it doesn't really make a sound if they hold on to it, and neither do they. They've got so much juice running through their bodies that they're completely paralyzed and it's not likely that they'll open their mouths. Their mouths and their voiceboxes just can't coordinate in the event that all muscular control is lost. I've seen somebody get hit by a taser, they didn't scream until the current was stopped and the jerking around slowed down a bit. If they survive, they'll scream. If they don't, all you'll hear is a sizzle, which I wouldn't hear through a wall.
As for lightning making a noise... Thunder is caused by lightning superheating the air around it, generating a massive shockwave. Lightning Bolt calls lightning into existance from almost nothing, and it's not natural lightning, it is pure, undiluted arcane electricity. You can use a fire spell underwater to make deadly steam - under ordinary circumstances, fire wouldn't even do that - it would simply vanish. Therefore, it can be assumed that a spellcaster is working with the ELEMENTAL force of electricity, rather than the natural phenomenon. Elemental fire can be used in an airless space, since it isn't creating the chemical reaction that leads to fire, it's simply making fire, all provisions included. Hence the art of Evocation - ice in an arid environment, fire without oxygen, lightning without thunder.