The answer is:
Charge
If you are in me
If you are in charge...
My name on your breath
Shouting “Charge”...
Will surely begin me
Will start a charge...
Yet end soon in death
Which will not last long but will lead to deaths on one side or another.
I'll shock you when high
If the charge for something is too high, you’ll be unhappy. Alternatively a high electrical charge will provide a shock.
I'll please you when low
But if it’s lower than expected you’ll be pleased
But fail to defend me
To jail you may go
If you are in a criminal court on charges and fail to defend them, you may end up in jail.
An explosive charge can be good in a fight.