There's the obvious problem of where to keep them and how to feed them. That energy has to come frome somewhere...

If I'm not mistaken the eels mostly produce the current when they are either trying to stun their meal or protect themselves. It's not a constant thing, not like what you would need to power a household.

It would be easier and more praciticle to use oxen to turn a wheel.

Yes, but they'd smush the megawatt producing eels under foot!

The problem of maintaining a steady current from the eels revolves around keeping them frightened enough to create a shocking voltage. If there is a discipline of eel psychology, the morality of using psychological techniques to create what would probably end up in eel psychosis is questionable. Somewhat similar to the current technique of the Bush administration to maintain a steady state of public panic to permit the infinite extension of presidential powers. In humans, severe fright frequently results in unontrolled defecation so the ultimate problem might be the proper disposal of huge quantities of eel shit.

I heard that Batman has one of those...

Marlon Brando is just a Batman wannabe!