Thunder Jolt is Pikachu and Pichu's Neutral B move.
Unlike most other attacks Pokémon use in Super Smash Bros. games, Thunder Jolt is not the name of an attack also used in the Pokémon RPGs. It has been speculated that "Thunder Jolt" is a misnomer and that the attack's actual name is supposed to be "Thundershock", the basic Electric attack in the RPGs, but "Thunder Jolt" is the official name given to Pikachu and Pichu's Neutral-B attack in the Nintendo Power Player's Guide for Melee. The original set of Pokemon trading cards had a Pikachu card that had Thunder Jolt as its basic attack. The most likely explanation is that is was taken from there for SSB and it stuck throughout the series.
Use this ground hugging projectile attack while standing and jumping. It also damages Pichu to use it (1%), however.
If used on a ledge or in the air, the shock will become a ball and travel diagonally until it reaches something solid (Item, Enemy, Platform, etc). While ball-shaped, this attack does slightly more damage.