Proper usage:
(Stung)
"I was stung by a bee."
"Ouch! That stung." Sometimes used with friends in a joking sense.
(Stab)
This one is used in a more serious or violent situation. Generally referring to a knife.
E.g. A mugger might say; "Give me your wallet, or I'll stab you."
(Poke)
Used in a much lighter sense.
Literal use: "I poked him." (Implying a simple jab of the finger.)
A parent might say "Those boys are always poking fun at each other."
(A way of saying they make fun of each other.)
(Stick)
This word, unlike the others, is generally a noun.
E.g. "I see a stick on the ground" Or "I poked him with a stick."
Though it may be used like so: "Stick it to him!" or "Stick him with it!"
Personally, I don't see it used like this much, other than in the occasional movie. As far as I know, it's not actually proper English either.